GARCH對風險值測量之實證研究~以台灣加權指數期貨為例; The Empirical Research Which Estimate VaR on the Basis of GARCH Model ~A Example of TAIEX Futures

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Title:	GARCH對風險值測量之實證研究~以台灣加權指數期貨為例;The Empirical Research Which Estimate VaR on the Basis of GARCH Model ~A Example of TAIEX Futures
Authors:	卓朝閔;Chao-min Chuo
Contributors:	產業經濟研究所碩士在職專班
Keywords:	穿透率;台灣加權指數期貨;GARCH;Basel II;backing test;VaR (Value at Risk);GARCH
Date:	2008-10-15
Issue Date:	2010-06-11 17:07:35 (UTC+8)
Publisher:	國立中央大學圖書館
Abstract:	GARCH對風險值測量之實證研究~以台灣加權指數期貨為例本文研究如何藉由運用GARCH模型精確地計算台灣加權指數期貨風險值，藉著穿透率的研究來驗證是否符合Basel II的規範。在台灣，最近幾年來台灣加權指數期貨已經成為一個重要的投資標的，並且也成為一項領先指數。期貨指數已經成為加權指數的領導者而非追隨者。因此在新巴賽爾資本協定公佈後，對機構投資者而言，計算期貨指數市場風險波動已經成為一個重要的課題。近年來不少金融機構將投資標的由單純的存放款擴大到多元的衍生性金融商品，若僅僅只是運用主管機關所定訂的標準法來控管風險顯然相當不足。本文運用近十年數據進行回顧測試，發生密集穿透區域之時間均以國內政局動盪及國際金融體系發生系統性風險為主。實證結果顯示：GARCH模型能準確的估計加權指數期貨的風險值。在99%的信賴區間下，在2008.04.22隔日的風險值為472點。關鍵字：一般化自我迴歸條件異質變異數模型、風險值、回顧測試 The Empirical Research Which Estimate VaR on the Basis of GARCH Model ~A Example of TAIEX Futures This paper studies how to compute correctly VaR of TAIEX Futures by GARCH model. In Taiwan, TAIEX Futures had becoming a major investment and a leading index in recent years. TAIEX Futures is a leader not follower for TAIEX. So, it is important issue for institutional investor to calculate market risk of TAIEX Futures hence Basel II be published. The empirical results prove that VaR of TAIEX Futures can be calculated right by GARCH model. The value at risk of next day is 472 point on 99% confidence interval at 2008.04.22. Keywords: GARCH , VaR (Value at Risk) , backing test
Appears in Collections:	[Executive Master of Industrial Economics] Electronic Thesis & Dissertation

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