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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/23642

    Title: DCC多變量GARCH模型之風險值計算-G7及臺灣等八國股市投資組合之實證研究
    Authors: 李命志;陳志偉;黃小菁
    Contributors: 淡江大學財務金融學系
    Keywords: DCC多變量;GARCH模型;風險值計算;股市投資組合
    Date: 2006-02
    Issue Date: 2009-11-30 17:47:40 (UTC+8)
    Publisher: 臺北市票券金融商業同業公會
    Abstract: 本文應用Engle(2002)所提出的DCC多變量GARCH模型去估計七大工業國(G7)與台灣股價指數所組成八國股市投資組合之風險值。比較SMA、EWMA、DCC-GARCH及DCC-GARCH-t等四種模型在風險值之預測能力,在回溯測試採用Kupiec (1995) PF檢定與RMSE資金運用效率之評估準則下,實證研究發現DCC-GARCH-t模型因較能捕捉厚尾及波動群聚現象,故其風險管理績效優異,為估算國際股市投資組合風險值的較佳選擇。另本文亦發現八國股市間之相關性及風險值會隨著波動性之提高而上升,說明國際股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。
    Relation: 貨幣市場 10(1),頁 9-37
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

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