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研究生:黃元甫
研究生(外文):Yuan-fu Huang
論文名稱:臺灣主要貿易國家匯率風險值之探討
論文名稱(外文):Investigation of the Value-at-Risk of Foreign Exchange Rate in the Main Trading Nations of Taiwan
指導教授:張瑞真張瑞真引用關係
指導教授(外文):Jui-chen Chang
學位類別:碩士
校院名稱:南華大學
系所名稱:財務金融學系財務管理碩士班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2008
畢業學年度:97
語文別:中文
論文頁數:43
中文關鍵詞:VaR-x法GARCH效果極值理論匯率
外文關鍵詞:VaR-xGARCH effectExtreme Value TheoryForeign Exchange Rate
相關次數:
  • 被引用被引用:5
  • 點閱點閱:421
  • 評分評分:
  • 下載下載:125
  • 收藏至我的研究室書目清單書目收藏:0
  綜合國內外有關匯率報酬風險值的文獻研究,大部分都是以單一模型來討論匯率報酬其尾部指數的估計及風險值,但甚少考量報酬序列存在波動叢聚與自我相關特性。本文採用1993年1月2日至2007年9月30日六個臺灣主要貿易國家匯率日資料,在考慮報酬序列具有GARCH效果下,搭配極值理論來估計報酬序列尾部指數及其風險值。實證結果顯示,使用極值理論估計尾部指數與風險值時,若能將原始序列加入GARCH效果,則風險值估計將更為準確。
 Majority of the previous studies about VaR of Foreign Exchange Rate were using simple model to estimate the tail index and VaR of exchange rate return with very little consideration of volatility clustering and the autoregressive errors of financial asset returns. This research analyzed the Foreign Exchange Rate of 6 main trading nations of Taiwan from January 2, 1993 to September 30, 2007 to evaluate VaR. We estimate the exchange rate return under GARCH effect and evaluate the tail index of exchange rate return through EVT method. The empirical result shows that the unconditional tail index estimate under GARCH effect is smaller than that ignores GARCH effect, in other words, the tail distribution of financial asset returns with GARCH effect is more accurate than that ignores GARCH effect.
論文口試委員審定書...i
謝辭...ii
中文摘要...iii
英文摘要...iv
目錄...v
表目錄...vi
圖目錄...vii
  
第一章 緒論...1
 第一節 研究背景...1
 第二節 研究動機...2
 第三節 研究目的...4
 第四節 論文架構...5
   
第二章 文獻探討...7
 第一節 風險值觀念的介紹與估計方法...7
 第二節 金融資產的極值行為...10
 第三節 金融資產的尾部指數估計方法...11
 第四節 文獻小結...14
   
第三章 研究方法...16
 第一節 極值理論介紹...18
 第二節 條件ARCH/GARCH模型...20
 第三節 單根檢定...22
 第四節 修正Hill估計式...23
 第五節 風險值的估計...25
 第六節 風險值績效之檢測...26
   
第四章 實證結果與分析...27
 第一節 資料來源...27
 第二節 資料初步分析...28
 第三節 匯率日報酬的基本敘述統計量...30
 第四節 匯率日報酬之單根檢定...32
 第五節 匯率日報酬尾部指數估計結果的分析...33
 第六節 尾部指數應用於匯率日報酬風險值的分析...34
  
第五章 結論與後續研究建議...38
 第一節 結論...38
 第二節 後續研究建議...39
  
參考文獻...40
中文部份
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第十九卷第二期,737-758頁。
 
2.王雅玲、林楚雄(2003),「外匯極値行為」,高雄第一科技大學財務管理所碩士論文。
 
3.周恆志、陳勝源(2004),「漲跌幅限制與極值理論在期貨保證金設定上之應用」, 風險管理學報,第六卷第二期, 207-228頁。
 
4.林楚雄、高子荃與邱瓊儀(2006),「結合GARCH模型與極值理論的風險值模型」,管理學報,第二十二卷第四期,133-54頁。
 
5.江明珠、連春紅、李政峰(2006),「台灣短期利率的厚尾性質與風險值分析--極值理論的應用與比較」, 台灣經濟學會與北美華人經濟學會2006年聯合年會研討會論文。
 
6.林楚雄、王韻怡(2006),「考慮GARCH效果下的尾部指數與風險值應用」,風險管理學報,第八卷第一期,49-70頁
 
7.吳明隆(2006),「SPSS統計應用學習實務--問卷分析與應用統計」,知城出版社。
 
西文部份
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