The Study of the Impacts of Expected and Unexpected Volatility on the Returns of Exchange Rate for Taiwan Foreign Exchange Market

• Main Authors: Bo-Wei Weng, 翁博偉
• Other Authors: 蘇明俊
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/55151278652747090264

碩士 === 國立中興大學 === 企業管理學系所 === 100 === Many investors in Taiwan operate the foreign exchange, but the foreign exchange market is often affected by expected positive volatility, expected negative volatility, unexpected positive volatility and unexpected negative volatility. In order to understand the impacts of expected and unexpected volatility on the linear and nonlinear foreign exchange returns, we use GARCH, IGARCH, TGARCH, EGARCH, PGARCH models to estimate the foreign exchange returns. Our datum include NT/USD, NT/EUR, NT/JPY, NT/CNY and NT/KRW foreign exchange returns, and the datum period is from 1999/1/5 to 2011/10/31. Finally, we apply OLS and Exponential OLS to estimate impacts of expected and unexpected volatility on the linear and nonlinear NT/USD, NT/EUR, NT/JPY, NT/CNY and NT/KRW foreign exchange returns. The results of this study show that in GARCH, IGARCH, TGARCH, EGARCH and PGARCH: (1) the unexpected volatility impacts of using OLS to estimate NT/USD, NT/EUR, NT/JPY, NT/CNY and NT/KRW foreign exchange returns are positive linear; (2) the expected volatility impacts of using OLS to estimate NT/USD, NT/EUR, NT/JPY, NT/CNY and NT/KRW foreign exchange returns are not significant; (3) the unexpected volatility impacts of using Exponential OLS to estimate NT/USD, NT/EUR, NT/JPY, NT/CNY and NT/KRW foreign exchange returns are positive nonlinear; (4) the expected volatility impacts of using Exponential OLS to estimate NT/USD, NT/EUR and NT/CNY foreign exchange returns are not significant, but NT/JPY, NT/KRW foreign exchange returns are positive nonlinear.