本次研究目的旨在驗證在已知上期股票波動率會影響本期股票波動率此前提之下，增加上期股票成交量變動率並以 Fama-French 三因子模型中三個因子 (市場風險溢酬、規模溢酬及淨值市價比溢酬) 平方作為控制變數，檢測新增的自變數是否能夠解釋並使預測未來股票波動率較為準確。藉由迴歸分析可以發現，上期股票波動率對於本期股票波動率有正向影響力。而在上期成交量變動率方面，則為負顯著。最後，Fama-French 三因子平方方面，最多股票在上期規模溢酬平方正顯著、上期市場風險溢酬平方次之、上期淨值市價比溢酬平方最少，且後兩因子均各有三檔股票為負顯著。最後再以移動視窗法比較有無上期成交量變動率迴歸模型兩者之樣本外資料預測能力，發現不含該自變數之模型預測能力較好，但相距不大，故上期成交量變動率對於預測波動率無明顯助益。

We aim to verify that the last period of stock volatility is known to affect the stock volatility of the current period, to increase the last period of volume change rate, and to use the square of the three factors in the Fama-French three-factor model(excess return on the market, the size of firms and book-to-market values)as the control variable, to detect whether the new independent variable can explain and predict future stock volatility better. Through regression analysis, it can be found that the last period of stock volatility has a significant positive effect on the stock volatility of the current period. For the last period of volume change rate, it was negatively significant. Finally, in terms of the square of the three factors of Fama-French, the most positive significant factor that stocks have is the last period of the size of firms, the second is the last period of excess return on the market, last period of book-to-market values is the least. And 3 stocks in the latter two factors are negative significant. Finally, we used the moving window method to verify whether the predictive model with the change rate of the previous stock volume has better predictive power. It is found that the prediction ability of the predictive model without the change rate of the previous stock volume is better, so the change rate of the previous stock volume does not help predict the volatility.

第一章 緒論------------------------------------1
第一節 研究背景及動機--------------------------1
第二節 研究目的及結果--------------------------1
第三節 研究架構-------------------------------3
第二章 文獻回顧--------------------------------4
第一節 預測波動率之統計假設模型-----------------4
第二節 預測波動率或波動率和成交量相關之文獻------5
第三章 研究方法--------------------------------7
第一節 資料-----------------------------------7
第二節 模型介紹--------------------------------9
第四章 實證結果分析----------------------------15
第一節 敘述統計量-----------------------------15
第二節 變異數膨脹因子診斷----------------------18
第三節 迴歸分析-------------------------------19
第四節 樣本外預測結果--------------------------21
第五章 結論與建議-------------------------------23
第一節 結論-----------------------------------23
第二節 未來研究建議----------------------------24
附錄 ---------------------------------------------25
參考文獻------------------------------------------31

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