Modeling Long Run Risk with Macroeconomic Fundamentals

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黃泰翔(Tai-Shiang Huang) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

(Modeling Long Run Risk with Macroeconomic Fundamentals)

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摘要(中)

參考Engle and Rangel(2008)提出的spline-GARCH，本篇文章提出了新的長期波動度的模型建立與預測方式。我們使用Empirical Mode Decomposition(EMD)方法拆解GDP與CPI的季資料得到數個不同頻率且互相獨立的數列。EMD方法有著簡單且適用於任何非線性、非穩態的好處。此外，我們可以觀察到拆解出的GDP成分與景氣循環間的相關性。於是本篇文章將利用這些成分建立隨總體環境變動而演變的財務市場長期波動度，使得短期波動度能在長期下自然的進行結構轉變。進一步，我們利用此架構預測2008與2009年的99%風險值，結果顯示在加入總體資訊的考量之下，長期風險管理的表現將會因此得到改進。

摘要(英)

Generalizing the component GARCH by Engle and Rangel (2008), this paper proposes a new modeling and forecasting strategy for systemic risk both in the short term and long run. By utilizing the orthogonally decomposed stationary regularity series from real quarterly GDP and CPI by EMD (Empirical Mode Decomposition), an empirical adaptive decomposition method that entertains nonlinear and nonstationary time series, we demonstrate the close coupling relationship between long run stock market volatility and the business cycle fluctuations. As these component series preserve the most primary information in the macroeconomic state variables sampled at lower frequencies, the long run component volatility is capable of generating regime shift behaviors in daily volatility without resorting to Markov switching or other regime switching mechanisms. Moreover, prediction of future volatility at various horizons is easy within the framework by taking advantage of the stable cyclical pattern of these orthogonalized macro series. Our empirical applications in hedging and evaluating VaR reveals that incorporating information from lower frequency macroeconomic fundamentals did provide incremental value toward the modeling of long run risks.

關鍵字(中)

關鍵字(英)

★ Spline-GARCH
★ Macroeconomic Fundamentals
★ EMD
★ VaR

論文目次

中文摘要 i
Abstract ii
Contents iii
List of Figures iv
List of Tables v
I. Introduction 1
II. Model Review 6
A. THE REGIME SWITCHING MODEL WITHOUT LOW-FREQUENCY INFORMATION 6
A.1. GJR-GARCH 7
A.2. Component GARCH model 8
A.3. Markov Regime Switching GARCH 9
B. THE REGIME SWITCHING MODEL WITH LOW FREQUENCY INFORMATION 10
B.1. Spline-GARCH 10
B.2. GARCH-MIDAS 12
III. MODEL SPECIFICATION 13
A. A NEW MODEL: SPLINE-GARCH WITH MACROECONOMIC FUNDAMENTALS 13
B. EMPIRICAL MODE DECOMPOSITION 14
IV. DATA AND EMPIRICAL RESULTS 18
A. DATA 18
B. THE DECOMPOSITION OF MACROECONOMIC VARIABLES 18
C. ESTIMATION RESULTS 25
C.1 Diagnostic check 31
C.2 Goodness of fit 32
V. FORECAST THE TERM STRUCTURE OF VAR 35
VI. CONCLUDING REMARKS 39
REFERENCE 40

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指導教授

葉錦徽(Jin-Huei Yeh)

審核日期

2010-6-21

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