A lot of relevant literature indicates that stock market returns for the non-linear because the stock market is volatility asymmetry. To explore the impact between the stock and macroeconomic variables, it is necessary to analyze by nonlinear model, otherwise they will be a model set of problems. I adopt a threshold autoregressive modle to analyze the relationship between the ETF return on the exchange rate and economic growth. In this study, the ETF return is the threshold variable. First, in order to rearrange the linear test regression (Arrang Regression) with the F-statistic testing whether the nonlinear effect of the grid search to find the residual sum of squares, determine the optimal threshold of backward and thresholds value. To identify the threshold, it is estimated a two-regime model analysis in positive and negative reward, the correlation between exchange rate and ETF returns Spillover effect to explain economic growth for the ETF returns and how it affects, then the data drawn into a grid map, find the number of possible structural transition point, and finally AIC formula to calculate the value of the two -regime with the three-regime model of AIC and the minimum value is the optimal model.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0622112-135608 |
| Date | 22 June 2012 |
| Creators | Wu, Shao-ming |
| Contributors | Lee, Chingnun, Wu, Jyh-Lin, Tsai, Ming-Shann |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0622112-135608 |
| Rights | unrestricted, Copyright information available at source archive |
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