Is value-at-risk-based risk management valid for commodity markets during the global financial turmoil?

淡江大學機構典藏 > 商管學院 > 財務金融學系暨研究所 > 學位論文 > Item 987654321/31447

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題名:	Is value-at-risk-based risk management valid for commodity markets during the global financial turmoil?
其他題名:	全球金融海嘯下之風險值為基礎的商品市場風險管理令人信服嗎?
作者:	邱登揚;Chiu, Teng-yang
貢獻者:	淡江大學財務金融學系碩士班邱建良;Chiu, Chien-liang
關鍵詞:	風險值;次貸風暴;商品市場;SGT分配;GARCH模型;Value-at-Risk;subprime mortgage storm;commodity market;skewed generalized t distribution;GARCH models
日期:	2009
上傳時間:	2010-01-11 00:42:59 (UTC+8)
摘要:	本論文提出在95%、99%與99.5%信賴水準下，GARCH模型建立在SGT分配的風險值估計。在計算條件SGT分配風險值方法上是以GARCH-N模型、GARCH-SGT模型、EGARCH-SGT模型和GJR-SGT模型等四種GARCH模型來配適適合度。樣本是採用能源商品(天然氣)、農產品(小麥)和金屬商品(黃金)之每日期貨結算價。此外本論文在文獻回顧將最近十年在期刊上所蒐集到的風險值論文分類成能源市場、商品市場、股票市場、外匯市場、利率市場和混合型財務市場，使讀者可以知道大部份學者較關心在哪部份。實證結果隱含本文採用的三種樣本對於正面消息產生時相對於負面消息產生會影響波動較大，並且實際上會導致波動度增加。並且本結果顯示在95%信賴水準時， GJR-SGT模型、 EGARCH-SGT模型與GARCH-SGT模型分別對天然氣、小麥與黃金有最佳績效表現。在99%信賴水準時，GARCH-SGT模型對天然氣表現出較精確的風險值估計，然而EGARCH-SGT模型在小麥與黃金部分表現較好。在99.5%信賴水準時，GJR-SGT模型在天然氣與黃金方面績效表現勝過其他模型，然而小麥在GARCH-N模型表現較好。此結果隱含具偏態、峰態與厚尾特性之SGT分配應用於風險值估計時，其效果優於常態分配。因此，可以應用在此極端事件下的商品市場風險管理上，使風險值較不會誤差過大而低估，並且有助於投資人更精確地評估在這三種商品面對此財務危機與呈現更大波動下可能的最大損失。綜觀在全球金融海嘯下，本研究結果提供欲從事商品市場風險管理的投資大眾，以GARCH類模型搭配SGT分配的風險值估計，仍是有效之市場風險管理工具的有利證據。 This thesis proposes the estimation of model-based VaR measures based on the skewed generalized t (SGT) distribution at three confidence levels (95%, 99%, and 99.5%). The suitability of four GARCH models (GARCH-N, GARCH-SGT, EGARCH-SGT, and GJR-SGT) in computing conditional-SGT-VaR measures is addressed. The daily futures price data for a collection of commodities energy (Natural Gas), agricultural (wheat) and spanning metal (gold), are used. In addition, this thesis presents a concise summary of the findings of the selected studies in last decade that are divided into six categories (energy market, commodity market, stock market, foreign exchange rate market, interest rate market, and various financial market), we can find out which category most researchers concentrate in. The empirical results imply that the positive news has a greater effect on volatility and a positive return shock actually increases volatility for three cases during the Global Financial Turmoil. Moreover, the results show that at the 95% confidence level, the GJR-SGT model, the EGARCH-SGT model and the GARCH-SGT model has the best overall performance for natural gas, wheat and gold, respectively. At the 99% confidence level, the GARCH-SGT (the EGARCH-SGT) model provides more accurate VaR estimates for natural gas (wheat and gold). At the 99.5% confidence level, the GJR-SGT model (the GARCH-N model) outperforms the other models for natural gas and gold (wheat). Overall, the SGT error with skewness, kurtosis and fat tails is much superior to the normal error in capturing the downside risk for most commodity cases. The finding can be apply in risk management to capturing the extreme event in commodity markets, in this manner, the VaRs’ errors will not be overlarge and underestimate the VaRs, and it will be helpful that investors evaluate more precisely the possible maximum losses when the three commodities face the Global Financial Turmoil and become more volatile. These results confirm that Value-at-Risk-based risk management using the GARCH-type models with SGT distribution are still valid for commodity markets during the Global Financial Turmoil.
顯示於類別:	[財務金融學系暨研究所] 學位論文

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