台灣加權指數與指數股票型基金風險值之歷史模擬法分析; The Analysis of the VaR form Taiwan's Weighted Index and Exchange Traded Fund based on Historical Simulation Method

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题名:	台灣加權指數與指數股票型基金風險值之歷史模擬法分析;The Analysis of the VaR form Taiwan's Weighted Index and Exchange Traded Fund based on Historical Simulation Method
作者:	李炎明;YAN-MING LI
贡献者:	產業經濟研究所碩士在職專班
关键词:	歷史模擬法;風險值;回溯測試法;Value at Risk;Historical Simulation;backtesting
日期:	2011-09-28
上传时间:	2012-01-05 15:09:05 (UTC+8)
摘要:	本研究著重於探討投資時所面臨的風險值，因此投資人在投資之前，應先評估在投資過程中所面對風險值高低後，再進行相關投資，降低虧損的機率。本文使用皮爾森係數分析變數之間的相關性，再利用迴歸估計式取得迴歸式，最後使用歷史模擬法計算風險值，並且使用回溯測試法與Kupiec 檢定方法去驗証風險值模型。最後得到二個結果(1)台灣加權指數預測台灣50 指數ETF 股價風險值 (2)台灣加權指數預測台灣50 指數ETF 股價獲利與損失機率，實証發現當台灣加權指數越低時風險值越低，獲利機率越高；相對當台灣加權指數越高時風險值越高，獲利機率越低。 The emphasis on this study is to discuss the VaR about making an investment; the investors should evaluate the VaR before they decide to make the investment, and to reduce the probability of investment loss. This study used the Pearson coefficient method to analyze the correlation between all the variables, and used the regression estimation method to obtain regression. Finally, use the Historical Simulation method to calculate the VaR, back testing and Kupiec methods to verify the VaR model. From the empirical study, we find that the Taiwan Weighted Index can forecast the profit and loss probability of the share price VaR at the Taiwan 50 Index ETF; and the evidence was found that when Taiwan's weighted index is lower, the VaR is lower,but the profit probability is higher, and opposite, when Taiwan's weighted index is higher, the VaR is higher, but the profit probability is lower.
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