第五章 結論與建議
第三節 效用差距的檢定結果
右，但也有只到 10%實證數據 (Griffin and Oomen, 2008)。而本篇研究所採用的台 指期貨的資料中，其符合價格變化的數目占原先價格總數目的比例也約為 50% 替的現像，且大小都十分地顯著。因此，關於這一點，Griffin and Oomen (2008) 認 為，當以不同的抽樣方法計算實現波動率時，其所誘發的市場微結構噪音干擾之
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將該式的被解釋變數 𝑢𝑡𝑡𝑟−𝑐 以 𝑢𝑡𝑡𝑟−𝐸 (𝑢𝑡𝑐−𝐸) 替代並檢定其截距項所估計的係 數是否顯著異於零，即可判斷該期望效用差距的顯著性 (迴歸結果請參閱表五及 表六；其中，表五的迴歸結果是在 𝑒𝑡+12 取代 𝜎𝑡+12 的設定下估計而成，而表六 的迴歸結果是在 𝑅𝑉𝑡+1𝐶 取代 𝜎𝑡+12 的設定下估計而成)。
𝑢𝑡𝑡𝑟−𝐸 與常數項的迴歸結果
係數 值 標準誤 𝑡 值 𝑝 值 檢定結果
𝜋
0 -0.0003 0.0048 -0.0613 0.9513 不顯著 𝑢𝑡𝑡𝑟−𝐸 與常數項、𝐷1 與 𝐷2 的迴歸結果係數 值 標準誤 𝑡 值 𝑝 值 檢定結果
𝜋
0 -0.0025 0.0046 -0.5379 0.5921 不顯著𝜋
1 0.0429 0.0411 1.0447 0.2994 不顯著𝜋
2 0.1345 0.0411 3.2726 0.0016 顯著𝑢𝑡𝑐−𝐸 與常數項的迴歸結果
係數 值 標準誤 𝑡 值 𝑝 值 檢定結果
𝜋
0 -0.0021 0.0043 -0.4876 0.6272 不顯著表五 𝑢𝑡𝑡𝑟−𝐸 與 𝑢𝑡𝑐−𝐸 的迴歸結果：在 𝑒𝑡+12 取代 𝜎𝑡+12 的設定下 (註: 標準誤為 Newly-West 標準誤)
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𝑢𝑡𝑡𝑟−𝐸 與常數項的迴歸結果
係數 值 標準誤 𝑡 值 𝑝 值 檢定結果
𝜋
0 -0.0010 0.0020 -0.4851 0.6289 不顯著 𝑢𝑡𝑡𝑟−𝐸 與常數項、𝐷1 與 𝐷2 的迴歸結果係數 值 標準誤 𝑡 值 𝑝 值 檢定結果
𝜋
0 -0.0015 0.0019 -0.8140 0.4181 不顯著𝜋
1 0.0584 0.0168 3.4716 0.0008 顯著𝜋
2 -0.0117 0.0168 -0.6976 0.4875 不顯著𝑢𝑡𝑐−𝐸 與常數項的迴歸結果
係數 值 標準誤 𝑡 值 𝑝 值 檢定結果
𝜋
0 -0.0001 0.0017 -0.0312 0.9752 不顯著表六 𝑢𝑡𝑡𝑟−𝐸 與 𝑢𝑡𝑐−𝐸 的迴歸結果：在 𝑅𝑉𝑡+1𝐶 取代 𝜎𝑡+12 的設定下 (註: 標準誤為 Newly-West 標準誤)
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