灰色理論與時間序列模型在匯率預測績效上之比較

10.6985/TBFQ.200206.0095

鄭美幸；詹志明

灰色理論 ； GARCH ； 匯率 ； 預測

台灣金融財務季刊

3卷2期（2002 / 06 / 01）

95 - 104

繁體中文

本文嘗試以灰色理論建構－匯率預測模型，並與隨機漫步和GARCH模型作樣本外預測能力之比較。研究結果顯示，當預測期間不超過1季時，灰預測模型和GARCH模型的預測績效皆優於隨機漫步模型，且灰預測模型的預測表現比GARCH模型佳。但是當預測期間超過1季時，則以隨機漫步模型的表現最好，灰預測模型表現最差。灰預測模型的預測精度與模型建立的樣本數量有關，當樣本數量少時，模型精度較高，此結果符合灰色理論的特性。故灰色模型較適合用於短期的匯率預測，對於長期的匯率預測，灰色理論則較不適宜。

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