An Examination of Both Adjusted Up and Down Range to Volatility in Stock and Futures Markets: The Application on GARCH-X Model

[[abstract]]對金融商品時間序列資料而言GARCH模型具有較一般傳統計量模型更好的描述性，因此本文以修正後的GARCH模型，將外生變數放入平均數方程式(mean equation)及條件變異數(conditional variance)方程式中，即為GARCH-X模型，進一步考量調整後之上、下變幅對於資產價格波動性的捕捉，將報酬率、調整後之上、下變幅以及成交量、未平倉部位等相關因子加入GARCH模型之平均數及條件變異方程式中，探討對台灣證交所發行量加權股價指數現貨、台股期貨、電子期貨與金融期貨報酬率及條件變異數的影響。實證結果發現上下變幅及成交量變動因子對報酬率及條件變異數的確有各種顯著及不同的影響，而在成交量及未平倉部位的變動因子上，無論在現貨或是期貨上皆存在負向的效果。因此，本文將市場上的價格與成交量訊息加以整理而得的上下變幅以及成交量變動因子經由GARCH-X模型，更能有效的詮釋其與報酬率及報酬率之條件變異數的關係，而使其以更深入的方向來看待市場中的各式訊息。[[abstract]]This study applies GARCH-X models which combining Adjusted Up、Down Range and other related factors to capture the dynamics of volatility on Taiwan Market by allowing volatility to depend on both volume effects and other related information. The empirical result shows that both Adjusted Up and Down Range have significant and different effects on return and conditional variance. It is also found of a negative effect of volume and open interest on volatility. In conclusion, The GARCH-X model is more appropriate than traditional statistical models because it is capable of interpreting observed statistical characteristics of many time series of financial assets