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系統識別號 U0002-1606200509254300
中文論文名稱 外匯投資組合風險值之估計-DCC多變量GARCH模型之應用
英文論文名稱 Value-at-Risk Estimation on Foreign Exchange Portfolio Using DCC Multivariate GARCH Model
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 93
學期 2
出版年 94
研究生中文姓名 陳志偉
研究生英文姓名 Chih-Wei Chen
學號 791490013
學位類別 碩士
語文別 中文
口試日期 2005-05-21
論文頁數 81頁
口試委員 指導教授-李命志
委員-邱建良
委員-黃博怡
委員-俞海琴
中文關鍵字 風險值  動態條件相關  多變量GARCH  外匯投資組合 
英文關鍵字 Value-at-Risk  DCC  Multivariate GARCH  Foreign Exchange Portfolio 
學科別分類 學科別社會科學商學
中文摘要 本研究應用Engle(2002)提出之動態條件相關(Dynamic Conditional Correlation,DCC)多變量GARCH模型去估計八國貨幣(歐元、英鎊、日圓、加拿大元、新台幣、韓元、新加坡元及澳元)所組成外匯投資組合的風險值。比較SMA、EWMA、CCC-GARCH及DCC-GARCH等四種模型在風險值之預測能力,在回溯測試採用Kupiec PF 檢定與RMSE資金運用效率之評估準則下,實證結果發現DCC-GARCH(1,1)-t模型因較能捕捉厚尾及波動群聚現象,其風險管理績效較為優異,故為估算外匯投資組合風險值的較佳選擇。
另八國匯率報酬率拒絕固定條件相關(Constant Conditional Correlation)之虛無假設,顯示國際匯率報酬率相關性並非固定,應適用動態相關係數之模型。本文亦發現八國匯市間之相關性及風險值會隨著波動性之提高而上升,說明國際匯市之波動性及相關係數為動態之時間序列,此可做為資產管理及投資組合分散風險之良好參考。
英文摘要 In this study, we apply the Dynamic Conditional Correlation (DCC) multivariate GARCH model, proposed by Engle (2002), to estimate Value-at-Risk (VaR) on foreign exchange portfolio composed of eight currencies including Euro, British pound, Japanese yen, Canadian dollar, Taiwan dollar, South Korea won, Singapore dollar and Australian dollar. By comparing the performance based on the Kupiec PF test in backtesting and RMSE for capital efficiency among SMA, EWMA, CCC-GARCH and DCC-GARCH models, we conclude that the DCC-GARCH(1,1)-t model, which accounts for characteristics of fat-tail and volatility clustering, is the better choice to compute VaR on foreign exchange portfolio.
In addition, the returns of eight currencies lead to reject the null hypothesis of a constant conditional correlation, which reveals that the dynamic correlation model should be adopted. We also find that the correlation and VaR rise in periods when the conditional volatility of markets increases, implying that the volatility and correlation in international currency markets are dynamic time series. We could use such criterions as a good reference to allocate assets and diversify portfolio risk.
論文目次 目 錄
第一章 緒論................................. 1
第一節 研究動機............................. 1
第二節 研究目的............................. 4
第三節 研究架構............................. 5
第四節 研究流程............................. 7
第二章 理論基礎與文獻回顧................... 8
第一節 風險值的意義及概念................... 8
第二節 風險值之估算方法.....................11
第三節 國外相關文獻.........................14
第四節 國內相關文獻.........................17
第三章 研究方法.............................20
第一節 投資組合風險值之計算.................20
第二節 模型參數之估計.......................24
第三節 風險值的評價方式與預測績效...........44
第四章 實證結果與實證分析...................47
第一節 資料來源與處理.......................47
第二節 基本統計量分析.......................48
第三節 單根檢定.............................53
第四節 ARCH效果檢定.........................56
第五節 固定相關係數檢定.....................57
第六節 投資組合風險值之估計.................58
第七節 投資組合共變異數及相關係數分析.......65
第五章 結論.................................76
參考文獻....................................78
表 目 錄
【表2-2-1】三種估算風險值方法優缺點比較表.......................................................13
【表3-2-1】多變量GARCH 模型之比較...................................................................44
【表3-3-1】Kupiec(1995)檢定法之臨界值...........................................................45
【表4-1-1】八國貨幣占全球貿易交易量之比率(2005 年2 月3 日)..................47
【表4-2-1】八國匯率基本統計量...............................................................................52
【表4-2-2】八國匯率報酬率基本統計量...................................................................52
【表4-3-1】八國匯率時間序列資料之單根檢定(水準項)...................................54
【表4-3-2】八國匯率日報酬率時間序列資料之之單根檢定(差分項)...............55
【表4-4-1】八國匯率報酬率ARCH 效果檢定..........................................................56
【表4-5-1】八國匯率報酬率標準化殘差之固定相關係數矩陣R ...........................57
【表4-5-2】八國匯率報酬率標準化殘差之固定相關係數檢定...............................58
【表4-6-1】多頭部位估計1 天之風險值穿透情形及RMSE 比較表......................62
【表4-6-2】空頭部位估計1 天之風險值穿透情形及RMSE 比較表.......................63
【表4-7-1】三模型(SMA、EWMA 及DCC-GARCH)之投資組合波動度比較表..68
【表4-7-2】八國匯率報酬率間相關係數平均值與標準差之關係...........................69
【表4-7-3】八國匯率報酬率DCC-GARCH 模型之相關係數矩陣平均值及標準差.......70
【表4-7-4】八國匯率報酬率間共變異數平均值與標準差之關係...........................73
【表4-7-5】八國匯率報酬率間相關係數與共變異數之關係...................................74
圖 目 錄
【圖4-2-1】八國匯率走勢圖.......................................................................................49
【圖4-2-2】八國匯率報酬率走勢圖...........................................................................50
【圖4-6-1】估計期間(500 天)與預估1 天之移動視窗方法................................59
【圖4-6-2】各模型預測一天之VaR 圖形..................................................................64
【圖4-7-1】三模型(SMA、EWMA 及DCC-GARCH)之投資組合波動度........66
【圖4-7-2】三模型(SMA、EWMA 及DCC-GARCH)之風險值........................67
【圖4-7-3】八國匯率報酬率DCC-GARCH 模型之最大及最小相關係數圖.........71
【圖4-7-4】歐元與其他七國匯率報酬率相關係數圖...............................................72
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