本研究觀察石油價格已實現波動度 (Realized Volatility；RV) 是否會影響股票市場的預期報酬，標的為ESTX 50、FTSE 100、KOSPI 200與NIKKEI 225。我們結合隨機波動 (SV) 模型與GARCH模型之性質，並加入油價之RV資訊，觀測是否顯著影響股票市場報酬。SV模型的部分，我們使用Kaiman Filter的方式做計算，透過最大概似函數來估計模型參數，此法的優點是可以處理具有不可直接觀察特性的部分。我們逐步加入新的參數，以控制報酬的自我相關及對條件波動的風險溢酬，並在條件變異數的部分，使用GARCH模型與GJR-GARCH模型兩個版本，後著呈現較好之最大概似值。而RV再區分成好的 (GRV) 與壞的 (BRV) 已實現波動度，觀察四個市場之影響程度。

This study examines whether the realized volatility (RV) of oil prices affects stock market returns in European, British, Korean, and Japanese markets. By combining the properties of the Stochastic Volatility (SV) model and the GARCH model and incorporating RV information of oil prices, we investigate the significant impact on stock market returns. The SV model is calculated using the Kalman Filter method, and model parameters are estimated through Quasi-Maximum Likelihood estimation, which allows handling unobservable characteristics. We introduce new parameters to control for return's self-correlation and risk premium with respect to conditional volatility; two versions - GARCH and GJR-GARCH - of conditional variances are estimated, with the latter demonstrating better maximum likelihood values. Furthermore, RV is categorized into Good Realized Volatility (GRV) and Bad Realized Volatility (BRV) to observe their respective influences on the four markets.

論文審定書 i
致謝辭 ii
摘要 iii
Abstract iv
目錄 v
1. 緒論 1
1.1 研究背景與動機 1
1.2 研究架構 3
2. 政治背景與文獻回顧 4
2.1 石油與政治 4
2.2 文獻回顧 5
2.2.1 油價對於股市影響 5
2.2.2 隨機波動模型 6
2.2.3 GARCH模型 7
3. 資料敘述統計 9
3.1 股票市場 9
3.2 原油價格 10
4. 研究方法 17
4.1 研究模型 17
4.2 建立假說 19
4.3 油價RV與 SV 模型 19
5. 實證結果 22
5.1 隨機波動模型 22
5.2 隨機波動模型修正 22
5.2.1 加入參數 μ 22
5.2.2 GARCH與GJR-GARCH之結果 22
5.2.3 加入參數 θ 以及 λ 23
5.3 加入油價RV資訊 23
5.4 討論與限制 25
6. 結論與建議 47
References 49
Appendix：Lemma in Multi-variate Normal Regression 52

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