估計並檢定短期利率波動性：確定抑或隨機？

Stochastic or Deterministic Volatilities? An Examination of Taiwan's Short-Term Interest Rate

10.30003/JRM.200511.0001

李政峰(Cheng-Feng Lee)；連春紅(Chun-Hung Lien)；欉清全(Ching-Chuan Tsong)；郭炳伸(Biing-Shen Kuo)

水準模型 ； GARCH模型 ； 隨機波動模型 ； 狀態轉換模型 ； Level Model ； GARCH Model ； Stochastic Volatility Model ； Regime Switching Model

風險管理學報

7卷3期（2005 / 11 / 01）

207 - 236

繁體中文

短期利率在財務理論與實證上佔有相當重要的地位，由於許多金融商品的訂價與短期利率有關，利率變動會影響金融商品的價格行為，明瞭短期利率的動態行為有助於控管金融商品的價格風險。然而，實證上關於利率波動性的設定方式，至今仍未有定論。本文使用台灣、美國與日本的利率資料，估計並檢定三大類利率波動模型，分別為確定的波動模型、隨機的波動模型與狀態轉換的波動模型，希冀由實證資料決定最適合的型式。實證結果顯示，均數復歸的現象以台灣資料較為明顯；而水準效果普遍存在於三國的資料中。以模型而言，GARCH水準模型較適合台灣的資料，美國與日本的資料則適合隨機波動水準（SV-L）模型。

Both asset pricing and risk management entails the information of the dynamic behavior of short-term interests. The short-term interest rates are featured by persistent and massive volatility. The paper inquires how the realizations on short-term interest rates from Taiwan, United States, and Japan can be best described empirically. Various popular volatility specifications are estimated and tested. Our empirical findings reveal that the mean reversion is an important characteristic for the interest rates from Taiwan, while the level effects are found to be common to all the data of three countries. Overall, the GARCH-L model well fits to Taiwan's data, and the SV-L model to US and Japan counterpart.

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