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標題: | 黃金之不對稱GARCH市場風險值之研究 Asymmetric GARCH Value at Risk of GOLD |
作者: | Yi-Ting Chen 陳翊庭 |
指導教授: | 蘇永成(YONG-CHENG SU) |
關鍵字: | 市場風險值,GARCH模型,黃金, VaR,GARCH,GOLD, |
出版年 : | 2013 |
學位: | 碩士 |
摘要: | 市場風險值VaR 已是受到廣泛應用的風險控制工具。在近年VaR模型效果估計比較的多篇研究證實了GARCH 模型在估計市場風險值的有效性及精確性後,本研究檢驗包含旋轉效果的GJR-GARCH及平移效果的NA-GARCH兩種不對稱GARCH模型與對稱的GARCHM模型比較,在不同的報酬結構之下,找出對於黃金價格具有較佳VaR值預測表現的模型。我們利用523筆日報酬率的資料,並將其分為兩個群組進行模型配置及市場風險值估算之用,依據不同信賴區間下估算出的市場風險值與實際報酬表現做比較,並另外運用其他穿透測試等項目檢驗模型的精確性。
本研究主要發現包含以下部分: 1. 從穿透次數而言,對稱的GARCHM模型和GJR-GARCH模型的表現優於NA-GARCH模型。表示不對稱的GARCH模型表現並不總是較對稱的GARCH模型好。 2. 雖然平均而言NA-GARCH表現不如對稱的GARCH模型和GJR-GARCH模型,但在所有模型中,ARMA(1,1)-NA-GARCHM(1,1)在各項穿透測試項目的表現最好。 3. ARMA(1,1)-NA-GARCHM(1,1)表現最好,我們認為是由於NA-GARCH模型不對稱的效果較小,較符合黃金價格波動小的特性。 VaR is more applicable as a financial management tool to control risk. Since the GARCH model is proved to be the useful and more accurate model in estimating VaR, in this paper, we employ the asymmetric GARCH models including the innovation-rotated GJR GARCH and the innovation-shifted NA GARCH models with different mean equations in comparison with symmetric GARCHM model to find out a more appropriate GARCH method in estimating VaR of gold price. We gathered the latest 523 daily return of gold and divided into two groups to fit the models and get the VaR estimates under each confidence level we chose. Our major findings are described as follows: (1) In term of violation number, symmetric GARCH model and GJR-GARCH models outperform NA-GARCH models. The result implies that asymmetric GARCH models do not outperform symmetric GARCH models (GARCHM model) all the time. (2) We evidently find out ARMA(1,1)-NA-GARCHM(1,1) is the best fitted model in estimating VaR of gold price through forward test among GARCH models with four types of mean equations. (3) The relatively smaller asymmetric effect of NA-GARCH models (ARMA(1,1)-NA-GARCHM(1,1)) fits better with the relatively stable character of gold price compared to GJR-GARCH models. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/16807 |
全文授權: | 未授權 |
顯示於系所單位: | 財務金融學系 |
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