臺灣博碩士論文加值系統

本研究使用GARCH模型、TGARCH模型與EGARCH模型作為風險值預測能力評估。本研究以台灣股票市場中的八大類股股價指數作為風險值估計模型的研究對象，研究期間選取為2013年1月2日至2016年3月31日。利用回溯測試(backing test)評估風險值估計模型在多頭、空頭部位之準確性(accuracy)，及利用均方根相對偏差指標(RMSRE)評估風險值估計模型在多頭、空頭部位之保守性(conservatism)，並利用誤差平方根(RMSE)與絕對平均百分比誤差(MAPE)評估風險值估計模型在多頭、空頭部位之效率性(efficiency)。實證結果表示對台灣股票市場而言，在多頭部位與空頭部位下，台灣大部分的產業皆使用以EGARCH模型為較佳的風險值估計模型，也較能捕捉報酬率的真實性及較能捕捉雙尾的特性，即為存在槓桿效果(leverage effect)。

The purpose of this study is to evaluate three models, which are GARCH model, TGARCH model, and EGARCH model, for measuring VaR precision. The data of Taiwan eight major industries stock market indexes was collected and the sampling period is from January 2, 2013 to March 31, 2016. Finally, the performances of three models are tested by the evaluating methods of accuracy, conservatism and efficiency in long and short trading positions, according to the rules of backing test, RMSRB, RMSE, and MAPE. This research finds Taiwan majority industries in long and short trading positions both take EGARCH model to estimate the VaR is better than other two models.

摘要 i
Abstract ii
誌謝 iii
目錄 iv
表目錄 v
圖目錄 vi
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 2
第三節 研究流程與論文架構 3
第二章 文獻回顧 4
第一節 風險值(VaR)的定義 4
第二節 風險值估計模型相關文獻 5
第三章 實證方法 9
第一節 理論模型與相關檢定 9
第二節 風險值估計模型之設定 12
第三節 風險值績效評估方式 14
第四章 實證結果與分析 19
第一節 實證資料來源與基本統計特性 19
第二節 樣本內參數估計 22
第三節 風險值績效評估與探討 34
第四節 綜合結果分析 51
第五章 結論 55
參考文獻 57

王甡，1995。「報酬衝擊條件波動所造成之不對稱效果:台灣股票市場之實證分析」， 證券市場發展季刊。7 卷，1 期，125-160。

沈大白、柯瓊鳳、鄒武哲，1998。「風險值衡量模式之探討-以台灣上市公司權益證券為例」，東吳經商學學報。22期，57-76。

李命志、洪瑞成、劉鴻鈞，2007。「厚尾GARCH模型之波動性預測能力比較」，輔仁管理評論。14卷，2期47-72。

杜玉振、魏郁珣，2009。「多空交易部位之最適風險值模型研究-以股票、商品及外匯市場為例」，創新與管理。7卷，1期，1-28。

林建甫、張焯然，1996。「ARCH族模型估計與檢定問題」，經濟論文叢刊。24卷，3期，339-355。

林楚雄、劉維琪、吳欽杉，1999。「台灣股票店頭市場股價報酬波動行為的研究」，企業管理學報。44卷，165-192。

洪儒瑤、古永嘉、康健廷，2006。「ARMA-GARCH 風險值模型預測績效實證」，中華技術學院學報。34:13-35。

柏婉貞、黃柏農，2007。「台股指數期貨與現貨市場日內報酬波動與交易量非線性行為之研究」，經濟研究。43 卷，2 期，182-208。

柯博倫、雷立芬，2011。「GARCH估計風險值(VaR)績效之探討」，台灣銀行季刊，62卷，4期，234-243。

張揖平、洪明欽、陳哲弘，2003。「資產報酬率分配對風險值計算之影響」，輔仁管理評論。10卷，3期，181-206。

楊奕農，2009。時間序列分析經濟與財務上之應用二版。台北:雙葉書廊。

廖偉真、雷立芬，2010。「不同樣本頻率之股市波動性估計—GARCH、TGARCH 與 EGARCG 之比較」，台灣銀行季刊，61 卷，4 期，294-307。

劉美纓，2006。「銀行投資組合風險值模型之測試與應用-個案分析」，金融風險管理季刊。2卷，1期，1-27。

蘇榮斌、黃孟祥，2008。「風險值之預測:以台灣、韓國、新加坡及馬來西亞等國家股票市場為例」，中華技術學院學報。39 卷,181-198。

Akgiray, V. (1989). “Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts.” Journal of Business, 55-80.

Alexander, C. O., & Leigh, C. T. (1997). “On the Covariance Matrices Used in Value at Risk Models.” Journal of Derivatives, 4(3), 50-62.

Angelidis, T., Benos, A., & Degiannakis, S. (2004). “The Use of GARCH Models in VaR Estimation.” Statistical Methodology, 1(1), 105-128.

Beder, T. S. (1995). “VAR: Seductive but Dangerous.” Financial Analysts Journal, 51(5), 12-24.

Black, F. (1976). “The Pricing of Commodity Contracts.” Journal of Financial Economics, 3(1), 167-179.

Bollerslev, T., & Wooldridge, J. M. (1992). “Quasi-Maximum Likelihood Estimation and Inference in Dynamic Models with Time-Varying Covariances.” Econometric Reviews, 11(2), 143-172.

Bollerslev, T., Chou, R. Y., & Kroner, K. F. (1992). “ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence.” Journal of Econometrics, 52(1-2), 5-59.

Christoffersen, P. F. (1998). “Evaluating Interval Forecasts.” International Economic Review, 841-862.

Duffie, D., & Pan, J. (1997). “An Overview of Value at Risk.” Journal of Derivatives, 4(3), 7-49.

Enders, W. (2004). Applied time series econometrics. Hoboken: John Wiley and Sons.

Engel, J., & Gizycki, M. (1999). “Conservatism, Accuracy and Efficiency: Comparing Value-at-Risk Models.” APRA.

Engle, R. F. (1982). “Autoregressive Conditional Heteroskedasticity With Estimates of the VariM ance of UK Inflation.” Econometrica, 50.

Engle, R. F., & Kraft, D. (1983). “Multiperiod Forecast Error Variances of Inflation Estimated from ARCH Models.” Applied Time Series Analysis of Economic Data, 293-302.

Engle, R. F., & Bollerslev, T. (1986). “Modelling the Persistence of Conditional Variances.” Econometric Reviews, 5(1), 1-50.

Engle, R. F., & Ng, V. K. (1993). “Measuring and Testing the Impact of News on Volatility.” Journal of Finance, 48(5), 1749-1778.

Fama, E. F. (1965). “The behavior of stock-market prices.” Journal of Business, 38(1), 34-105.

Fornari, F., & Mele, A. (1997). “Sign-and Volatility-Switching ARCH Models: Theory and Applications to International Stock Markets.” Journal of Applied Econometrics, 12(1), 49-65.

French, K. R., Schwert, G. W., & Stambaugh, R. F. (1987). “Expected Stock Returns and Volatility.” Journal of Financial Economics, 19(1), 3-29.

Giot, P., & Laurent, S. (2003). “Value‐at‐Risk for Long and Short Trading Positions.” Journal of Applied Econometrics, 18(6), 641-663.

Hendricks, D. (1996). “Evaluation of Value-at-Risk Models Using Historical Data.” Economic Policy Review Federal Reserve Bank of New York, 2(1), 39-67.

Jackson, P., Maude David, J., & William, P. (1997).” Bank Capital and Value at Risk.” Journal of Derivatives, 4, 73-89.

Jansen, D. W., & De Vries, C. G. (1991). “On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective.” The Review of Economics and Statistics, 18-24.

Jorion, P. (1996). “Risk: Measuring the Risk in Value at Risk.” Financial Analysts Journal, 52(6), 47-56.

Jorion, P. (2000). Value at Risk: The New Benchmark for Managing Market Risk. NY: McGraw-Hill Professional.

Jorion, P. (2001). Value at Risk: The New Benchmark for Managing Financial Risk. NY: McGraw-Hill Professional.

Kupiec, P. H. (1995). “Techniques for Verifying the Accuracy of Risk Measurement Models.” Journal of Derivatives, 3(2).

Ljung, G. M., & Box, G. E. (1978). “On a Measure of Lack of Fit in Time Series Models.” Biometrika, 65(2), 297-303.

Lopez, J. A. (1999). “Methods for Evaluating Value-at-Risk Estimates.” Federal Reserve Bank of San Francisco Economic Review, 2, 3-17.

Mandelbrot, B. (1967). “The Variation of Some Other Speculative Prices.” Journal of Business, 40(4), 393-413.

Mittnik, S., & Paolella, M. S. (2000). “Conditional Density and Value‐at‐Risk Prediction of Asian Currency Exchange Rates.” Journal of Forecasting, 19(4), 313-333.

Nelson, D. B. (1991). “Conditional Heteroskedasticity in Asset Returns: A New Approach.” Econometrica: Journal of the Econometric Society, 347-370.

Penza, P., & Bansal, V. K. (2001). Measuring Market Risk with Value at Risk (Vol. 17). John Wiley & Sons.

Said, S. E., & Dickey, D. A. (1984). “Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order.” Biometrika, 71(3), 599-607.

So, M. K., & P. L. H.Yu, (2006). “Empirical Analysis of GARCH Models in Value at Risk Estimation.” Journal of International Financial Markets, Institutions and Money, 16(2), 180-197.

Zakoian, J. M. (1994). “Threshold Heteroskedastic Models.” Journal of Economic Dynamics and control, 18(5), 931-955.