| Summary: | 碩士 === 銘傳大學 === 財務金融學系碩士班 === 95 === As the ACD models develop over time, many related issues have been widely explored. In this study, we apply the augmented ACD family proposed by Fernandes and Grammig(2006) to empirically analyze the data from Taiwan equity market. The empirical results of this study indicate that the price durations exhibited high autocorrelation and weekend effect. The parameters estimated in this study indicate that there are substantial diversities between the models in augmented ACD family. Furthermore, in all specifications, the conditional price durations possess some properties, including geometrically ergodic Markov process, strict stationarity, geometric ergodicity and β-mixing property with exponential decay. Based on the values of log-likelihood function, AIC and SBIC, the asymmetric ACD model that exhibits the asymmetric effect by the shock impact curve of the liner ACD model has relatively better performance. Finally, the D-test values are not significant among all the models, revealing that the assumption of the Burr distribution of the error term is appropriate.
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