| Summary: | 碩士 === 雲林科技大學 === 財務金融系碩士班 === 98 === Literatures point out that GARCH models can capture volatility clustering, and the
conditional variance of stock returns is time-varying. Without considering structural
changes in the model, it yield a high measure of persistence (close to an I-GARCH
process). In other words, the presence of structural breaks can result in spuriously high estimates of the degree of persistence of shocks to the conditional variance.
This paper investigate whether the variance of structural changes in the U.S. stock returns have occurred, and add Fourier function to GARCH model to simulate the pattern of structural changes. The empirical results show that the onditional variance of stock returns have structural changes, and structural changes in the unknown point, the addition of Fourier function, the model has the ability to capture the volatility of stock return.
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