標題: 風險值衡量:實現變幅的應用
Estimating Value at Risk with Realized Range
作者: 陳昱如
周雨田
經營管理研究所
關鍵字: 實現變幅;日內資料;風險值;極值理論;變幅;波動性;Realized range;Intra-day data;Value at Risk;Extreme value theory;Range;Volatility
公開日期: 2008
摘要: 本篇論文將實現變幅(realized range)概念應用在風險值模型中,利用Martens and van Dijk (2007) 所提出的修正誤差方法,並使用MEM(Multiplicative Error Model)來預測下一期的波動性,得到實現變幅基礎下的風險值模型。此外,本研究也利用常態分配假設下的變異數-共變異數法(variance-covariance method),以及厚尾性質的極值理論 (extreme value theory)兩種不同假設的風險值模型來一起做比較。在實證上,以標準普爾500(S&P 500)指數與那斯達克(Nasdaq)指數的高頻率資料作為研究對象,進行實現變幅、報酬與變幅基礎下的風險值模型在風險值的預測能力比較。實證結果顯示,以實現變幅為基礎下的風險值模型表現優於其他的風險值模型。
This paper investigates the concept of realized range into the Value-at-Risk estimation. We follow the bias-correction method of Martens and van Dijk (2007) and use MEM model(Multiplicative Error Model)to forecast volatility and VaR estimation. In addition, we apply two different VaR methods to make the comparison: Variance-covariance method and Extreme value theory. In empirical research, we use the intra-day data of S&P 500 and Nasdaq Index to compare the forecast ability of VaR with realized range, daily return and daily range data. The comparing result shows that realized-range-based VaR model performs better than other models.
URI: http://140.113.39.130/cdrfb3/record/nctu/#GT079637515
http://hdl.handle.net/11536/43041
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