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

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