本文應用GARCH-Copula模型來評估東南亞國協投資組合風險值，並利用穿透率和Kupiec（1995）提出的概似比檢定，評估模型對風險值估計的準確性。希冀找出一個合適估計描述東協五國投資組合的風險值與區間，以利投資組合的市場風險評估、控管和規劃。 研究結果顯示，GARCH-Copula模型在顯著水準5%下，無論在全樣本或金融海嘯後，所估計算出來的風險值皆為有效，且優於傳統模型變異數-共變異數法。因為投資組合報酬為非常態與非線性，與傳統模型的線性結構相比，非線性的模型較符合。且在金融海嘯後，各國間相關性皆有增加，唯東協五國投資組合相關性高，投資於此避險的效果將降低，因無法完全分散風險。 The study applies GARCH-Copula Model to evaluate Value at Risk for portfolios of ASEAN-5. Then use penetration ratio and Likelihood Ratio Test which Kupiec （1995） proposed to evaluate the accuracy of VaR model.Hoping to find a suitable estimate of Value at Risk for portfolios of ASEAN-5. In order to facilitate Portfolio market risk assessment、control and planning. The results of study, GARCH-Copula model at the 5% significance level, both in the full sample or after the financial tsunami, the estimated of Value at Risk are effectively, and better than the traditional model of the variance - covariance method. Because the portfolio return are non-normality and nonlinear, compared with the traditional model of linear structures, nonlinear model is more fits our portfolio. And after the financial tsunami, individually correlation between countries is increase. Only ASEAN-5 portfolio correlation is high, the effect of hedge will be reduced. Because it can’t fully diversify risk.
