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系統識別號 U0002-2306201016310300
中文論文名稱 持有新台幣的VaR尾部風險之回顧測試
英文論文名稱 Backtesting the Tail Risk of VaR in Holding New Taiwan Dollar
校院名稱 淡江大學
系所名稱(中) 管理科學研究所碩士班
系所名稱(英) Graduate Institute of Management Science
學年度 98
學期 2
出版年 99
研究生中文姓名 黃詩紋
研究生英文姓名 Shih-Wun Huang
學號 697620234
學位類別 碩士
語文別 中文
口試日期 2010-06-09
論文頁數 72頁
口試委員 指導教授-莊忠柱
共同指導教授-王譯賢
委員-林忠機
委員-張淑華
委員-牛涵錚
中文關鍵字 風險值  GARCH  APARCH  回顧測試 
英文關鍵字 Value-at-Risk  GARCH  APARCH  Backtesting 
學科別分類 學科別社會科學管理學
中文摘要 本研究以主要工業國(美元、歐元、日圓、加拿大幣與英鎊)對新台幣每日匯率收盤價為研究對象,利用GARCH與APARCH模型在常態分配、t分配與偏態t分配的假設下,進行90%、95%、99%及99.5%信賴水準的多空頭部位風險值之估計。最後將所有風險值模型進行其績效衡量,並利用Kupiec(1995)的概似比檢定(Likelihood Ratio Test)對風險值模型進行比較,找出計算風險值較佳模型。研究結果發現:
1. 就多頭部位而言,GARCH-n模型在低顯著水準(10%及5%顯著水準)下的風險值績效有不錯的表現,但GARCH-n模型在高顯著水準(1%及0.5%顯著水準)下的風險值績效卻未能通過回顧測試,表示常態分配無法確切地捕捉厚尾的性質。t分配與偏態t分配皆能改善在尾部分佈下的風險值績效,並能緩和常態分配無法確切地捕捉厚尾的問題。然而,偏態t分配相對於t分配的尾端分佈風險值績效的改善程度卻有限。

2. 就空頭部位而言,普遍在常態分配下的GARCH與APARCH模型的風險值績效有較佳的表現。普遍在t分配下的GARCH與APARCH模型的風險值績效表現較不佳,因估算出的實際穿透個數往往低於理論穿透個數甚多,導致無法通過回顧測試的檢定,表示t分配假設潛在引發風險值估計過於保守的缺失。普遍在偏態t分配下的GARCH與APARCH模型可改善t分配假設潛在引發風險值估計過於保守的缺失。
英文摘要 The study is to compute VaR in the long and short trading position by using GARCH and APARCH models with normal distribution, student t distribution and skewed student t distribution at four significant levels. The sample daily data covers New Taiwan Dollar to US Dollar, European Euros, Japanese Yen, Canadian Dollar and British Pound exchange rate. Moreover, the study is to evaluate the validity of different models by using backtesting method based on likelihood ratio test proposed by Kupiec (1995). The empirical results are as follows:

1. For the long trading positions, the GARCH model with normal distribution has poor validity in high significant levels due to the fat-tail problem. The fat-tail problem could be improved by the student t distribution and skewed student t distribution. However, compared with student t distribution the improved VaR performance of the skewed t distribution is not significant.
2. For the short trading positions, the GARCH and APARCH models with normal distribution has good validity. The GARCH and APARCH models with student t distribution induced the over-conservative problem of VaR estimation, but the GARCH and APARCH models with skewed t distribution could improved it.
論文目次 目錄 I
表目錄 II
圖目錄 III
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 5
第三節 研究架構 5
第二章 文獻回顧 7
第一節 巴塞爾協定介紹 7
第二節 巴塞爾協定對回顧測試的規定 10
第三節 風險值的意涵 11
第四節 風險值相關文獻 13
第三章 研究方法 30
第一節 研究樣本與資料來源 30
第二節 實證方法 30
第四章 實證結果分析 42
第一節 基本敘述統計分析 42
第二節 單根檢定分析 44
第三節 風險值模型參數估計結果 44
第四節 風險值績效衡量與分析 51
第五章 結論與建議 63
第一節 結論 63
第二節 建議 64
參考文獻 66

表1-1 近十年我國進出口貿易額及對外貿易依存狀況 1
表2-1 巴塞爾資本協定之時程 8
表2-2 新巴塞爾資本協定架構 9
表2-3 巴塞爾懲罰區 10
表2-4 回顧測試信賴區間穿透個數 11
表4-1 日資料報酬基本統計分析 43
表4-2 自然對數報酬序列的單根檢定 44
表4-3 GARCH模型參數估計結果 45
表4-4 APARCH模型參數估計結果 48
表4-5 美元對新台幣報酬的模型風險值績效評估 53
表4-6 歐元對新台幣報酬的模型風險值績效評估 55
表4-7 日圓對新台幣報酬的模型風險值績效評估 57
表4-8 加拿大幣對新台幣報酬的模型風險值績效評估 59
表4-9 英鎊對新台幣報酬的模型風險值績效評估 61

圖1-1 研究流程 6
圖2-1 風險值示意圖 12
圖4-1 日資料價格走勢圖 42
圖4-2 日資料報酬時間序列圖 42
圖4-3 樣本外一天風險值預測之移動視窗法 50

參考文獻 一、中文文獻
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15. 蘇榮斌與黃孟祥,2008。風險值之預測:以台灣、韓國、新加坡及馬來西亞等國家股票市場為例,中華技術學院學報,第三十九期,頁181-198。
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