本文的主要目的在於使用平滑轉換GARCH模型探討新冠肺炎事件對股市動態波動性結構之影響。考慮結構改變的調整方法來處理隱藏在波動性變數資料產生過程的結構轉變現象是相當直觀的。而且使用平滑轉換方法進行估計可以獲取在估計狀態轉換的行程中不會使用到額外觀察訊息的優勢。研究期間自2015年4月至2020年7月。研究標的包含臺股指數市場中包含電子類股等11類股指數資料以及臺灣周邊區域包含亞洲四小龍和日本股票市場指數資料。
本文包含兩個實證研究。在第一個實證研究部分中，我們證實新冠肺炎事件確實改變了臺灣主要類股市場中多數類股指數波動性之結構。透過各類股指數波動性之轉換函數估計值，我們得知除了旅遊類股指數和航運類股指數外，其餘多數類股指數波動性轉換的反應皆發生在新冠肺炎事件之前。此外，轉換函數之估計值亦說明除了貿易類股指數波動性外，其餘類股指數波動性皆存在U型態的結構轉換形式。此外，我們可以藉由所建構的模型來標示波動性和相關性變數資料產生過程的結構轉變時間點。在第二部分的實證研究中，我們證實新冠肺炎事件確實對亞洲四小龍及日本股票市場指數波動性造成結構轉變之影響。其中，我們亦計算出這些國家股價指數波動性的轉換函數估計值，並發現除了韓國和日本兩個國家外，其餘國家股價指數波動性的結構轉變皆發生在新冠肺炎事件發生之前。此外，透過轉換函數的估計結果，我們亦得知所有國家股價指數波動性皆呈現U型的結構轉換形式。而本研究亦透由平滑轉換GARCH模型的估計結果，估算出包含類股指數及股價指數研究標的之動態波動性轉換的實際發生時點。

The main purpose of this dissertation is to adopt the smooth transition GARCH model to depict the influences of the Novel Coronavirus Disease (COVID-19) on the dynamic volatility structure for stock market. It is intuitively to consider the regime change adjustment method to address the structural shift embedded in the data generating process for volatility process. In addition, the benefit of hiring smooth transition method is that there is no feedback from the observed information to the switching-process. The data source span the period from April 2015 to July 2020. We collect 11 broad-based indices from TWSE and the stock market index of the Four Asian Tigers and Japan.
There are two empirical topics in this study. In the first section, our empirical results show that the episode of the COVID-19 switches the volatility structure for the most of indices volatilities in Taiwan. We also obtain the transition function for all indices volatilities and catch that their regime adjustment processes start prior to the outbreak of COVID-19 pandemic in Taiwan except two industrial sub-indices, the tourism index and the shipping and transportation index. Finally, the estimated transition functions show that the broad-based indices volatilities have U-shaped patterns of structure changes except the trading and consumer goods sub-indices. In the second section, the empirical results show that the shocks of the COVID-19 change the dynamic volatility structure for all stock market indices for the Four Asian Tigers and Japan. Moreover, we acquire the transition function for all stock market index volatilities and find out that most of their regime adjustment processes start following the outbreak of COVID-19 pandemic in the Four Asian Tigers except South Korea and Japan. Additionally, the estimated transition functions illustrate that the stock market index volatilities contain U-shaped patterns of structure changes for all countries. This article also computed the corresponding calendar dates of structure change about dynamic volatility pattern.

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