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

• 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

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.