English  |  正體中文  |  简体中文  |  Items with full text/Total items : 49432/84393 (59%)
Visitors : 7454686      Online Users : 91
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/93794

    Title: 利用GARCH-EVT估計投資組合風險值 : 臺灣50指數為例
    Other Titles: Applying GARCH-EVT to estimate the portfolio's value at risk : the case of TSEC Taiwan 50 index
    Authors: 翁銘志;Weng, Ming-Chih
    Contributors: 淡江大學財務金融學系碩士班
    李沃牆;Lee, Wo-Chiang
    Keywords: 極值理論;GARCH模型;風險值;GARCH-EVT;Extreme value theory;GARCH model;VAR
    Date: 2013
    Issue Date: 2014-01-23 13:31:49 (UTC+8)
    Abstract: 本研究運用Markowitz (1952) 的平均數-變異數模型(Mean-Variance Model)來對臺灣50指數成份股進行篩選,藉此建構最適投資組合。再利用變異數¬-共變異數法(Variance-Covariance Method)、CCC-GARCH、DCC-GARCH、EVT與McNeil and Frey (2000)提出的GARCH-EVT模型等五種方法,分別對次貸風暴發生前後兩段期間,評估所建構投資組合之風險值。接著以Gerlach et al. (2011)運用 比率、McAleer and da Veiga (2008)提出穿透的絕對誤差(Absolute Deviation, AD)和Kupiec (1995)提出的概似比檢定( Likelihood Ratio Test, LR test )評估風險值模型的準確性。
    With the ferment of liberalization and globalization in financial markets,investor faces more investment opportunity and investment risk simultaneously. Therefore, it is an important and focus topic for investor to utilize her limited funds to select optimal investment portfolio and adopt suitable risk measure method to evaluate risk and further control risk.
    This thesis first adopts Markowitz’s Mean-Variance approach to select the best target stock portfolio from TSEC Taiwan 50 index ,and the study applies Variance-Covariance Method,CCC-GARCH, DCC-GARCH and GARCH-EVT model which McNeil (2000) proposed to evaluate Value at Risk(hence VaR). On the other hand, the study applies Likelihood Ratio Test which Kupiec (1995)proposed, Violation Rate, VRate/α and Absolute Deviation(AD) to evaluate the accuracy of VaR model.
    The empirical results demonstrate the VaR and Expected Shortfall increasing after financial crisis . By backing tests, before financial crisis, EVT model and GARCH-EVT model can correctly forecast VaR. Moreover, after financial crisis, GARCH-EV model is more precise to forecast VaR than other models. Compared with traditional linear structure, nonlinear structure are relatively correct on VaR forecasting.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

    Files in This Item:

    File SizeFormat

    All items in 機構典藏 are protected by copyright, with all rights reserved.

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback