A Study of Volatile Asymmetric Mean Reversion Phenomenon in Foreign Exchange Market.

碩士 === 國立臺北大學 === 企業管理學系 === 93 === This paper will adopt the nonlinear STAR model and ANST-GARCH model to capture the nonlinear mean reversion and the asymmetric volatility.This paper investigates the characteristics of the real effective exchange rate in the U.S.$, Japanese yen, Deutsche mark, Po...

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Main Authors: Lee Yan Jiun, 李晏均
Other Authors: Ruay-Shan Wu
Format: Others
Language:zh-TW
Published: 2005
Online Access:http://ndltd.ncl.edu.tw/handle/36182745428790046044
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spelling ndltd-TW-093NTPU01210612015-10-13T15:29:20Z http://ndltd.ncl.edu.tw/handle/36182745428790046044 A Study of Volatile Asymmetric Mean Reversion Phenomenon in Foreign Exchange Market. 外匯市場波動性不對稱均數返還現象之研究 Lee Yan Jiun 李晏均 碩士 國立臺北大學 企業管理學系 93 This paper will adopt the nonlinear STAR model and ANST-GARCH model to capture the nonlinear mean reversion and the asymmetric volatility.This paper investigates the characteristics of the real effective exchange rate in the U.S.$, Japanese yen, Deutsche mark, Pound Sterling,NT.$. It shows the following four findings: (1) The movement adjustment of the five real effective exchange rate shows evidently nonlinearity property;(2) The movement adjustment of the U.S.$, Japanese yen and NT.$ is asymmetric to positive deviation and negative deviation, and can be explained by the LSTAR model. The movement adjustment of the Deutsche mark and Pound Sterling is symmetric to positive deviation and negative deviation, and can be captured by the ESTAR model;(3) The movement adjustment of the U.S.$, Japanese yen and NT.$ shows a strong nonlinear mean-reversion in upper regime and lower regime, yet can not be found having the unit root in the middle regime. The mean-reversion of the movement adjustment of Deutsche mark and Pound Sterling exits not only outside but also within no-arbitrage band; (4) The volatility of the movement adjustment of U.S.$, Japanese yen and NT.$ is asymmetric and smooth-transition.The volatility of the movement adjustment of Deutsche mark and Pound Sterling is just asymmetric. Ruay-Shan Wu 吳瑞山 2005 學位論文 ; thesis 70 zh-TW
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language zh-TW
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sources NDLTD
description 碩士 === 國立臺北大學 === 企業管理學系 === 93 === This paper will adopt the nonlinear STAR model and ANST-GARCH model to capture the nonlinear mean reversion and the asymmetric volatility.This paper investigates the characteristics of the real effective exchange rate in the U.S.$, Japanese yen, Deutsche mark, Pound Sterling,NT.$. It shows the following four findings: (1) The movement adjustment of the five real effective exchange rate shows evidently nonlinearity property;(2) The movement adjustment of the U.S.$, Japanese yen and NT.$ is asymmetric to positive deviation and negative deviation, and can be explained by the LSTAR model. The movement adjustment of the Deutsche mark and Pound Sterling is symmetric to positive deviation and negative deviation, and can be captured by the ESTAR model;(3) The movement adjustment of the U.S.$, Japanese yen and NT.$ shows a strong nonlinear mean-reversion in upper regime and lower regime, yet can not be found having the unit root in the middle regime. The mean-reversion of the movement adjustment of Deutsche mark and Pound Sterling exits not only outside but also within no-arbitrage band; (4) The volatility of the movement adjustment of U.S.$, Japanese yen and NT.$ is asymmetric and smooth-transition.The volatility of the movement adjustment of Deutsche mark and Pound Sterling is just asymmetric.
author2 Ruay-Shan Wu
author_facet Ruay-Shan Wu
Lee Yan Jiun
李晏均
author Lee Yan Jiun
李晏均
spellingShingle Lee Yan Jiun
李晏均
A Study of Volatile Asymmetric Mean Reversion Phenomenon in Foreign Exchange Market.
author_sort Lee Yan Jiun
title A Study of Volatile Asymmetric Mean Reversion Phenomenon in Foreign Exchange Market.
title_short A Study of Volatile Asymmetric Mean Reversion Phenomenon in Foreign Exchange Market.
title_full A Study of Volatile Asymmetric Mean Reversion Phenomenon in Foreign Exchange Market.
title_fullStr A Study of Volatile Asymmetric Mean Reversion Phenomenon in Foreign Exchange Market.
title_full_unstemmed A Study of Volatile Asymmetric Mean Reversion Phenomenon in Foreign Exchange Market.
title_sort study of volatile asymmetric mean reversion phenomenon in foreign exchange market.
publishDate 2005
url http://ndltd.ncl.edu.tw/handle/36182745428790046044
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