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題名：條件波動與相關模型的兩篇研究
作者：高偉舜
作者(外文)：Wei-shun Kao
校院名稱：國立高雄第一科技大學
系所名稱：財務金融研究所
指導教授：林楚雄
學位類別：博士
出版日期：2013
主題關鍵詞：蔓延效應；風險值；條件異質變異數；外溢效果；偏態一般化t分配；VaR-x法；動態條件相關係數；回顧測試；尾部指數；極值理論；次貸金融危機；GJR；multivariate GARCH；Back Testing；contagion；Tail Index；VaR-x Method；Extreme Value Theory；skewed generalized t distribution；Value-at-Risk；spillover effects；Subprime crisis
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本論文由兩篇探討條件波動與相關模型的應用之文章所構成。
第一篇文章研究基於改良McNeil and Frey (2000) 兩階段方法，提出結合高階動差GJR-GARCH模型與極值理論的風險值估計方法。本文的結合法同時考慮允許自相關高階動差受外在訊息影響的異質波動，與改良之Hill估計式估計出的尾部指數。以10種股價指數，作為檢驗風險值模型準確性的研究對象。實證結果說明了同時掌握合高階動差之條件異質變異以及極值特性能提升風險值估計的準確性。更進一步發現兩階段方法比一般GARCH方法有較佳的估計。
第二篇文章旨在研究美國次級房貸危機期間，美國是否對國際股市間產生蔓延效應。根據 Forbes and Rigobon (2002)，本研究將蔓延效果定義為「發生事件衝擊而造成市場間相關性顯著的增加」，並應用多變量之GJR-GARCH模型結合動態條件相關係數進行實證分析。本文的研究對象遍及東亞、經濟合作發展組織、拉丁美洲和若干新興發展國家，總計32個市場於美國次級房貸危機期間之股票市場。本研究的主要研究成果如下：比較事件日後短期和相對長期中，發現蔓延效應廣泛發生在事件日後相對長期。其次，次級房貸危機的蔓延效果有潛伏期的現象。最後美國股市對於國際股市有顯著的外溢效果和波動不對稱性。
This study contains two essays about the financial dynamic models of the conditional volatility and correlation.
Essay 1 modifies a two-step approach by McNeil and Frey (2000) for forecasting Value-at-Risk (VaR). Our approach combines the asymmetric GARCH (GJR) model that allows the high-order moments (i.e., skewness and kurtosis) of the skewed generalized t (SGT) distribution to rely on the past information set to estimate volatility, and the modified Hill estimator (Huisman et al., 2001) for estimating the innovation distribution tail of the GJR model. Using back-testing of the daily return series of 10 stock markets, the empirical results show that our proposed approach could give better 1-day VaR forecasts than McNeil and Frey (2000) and the GJR/GARCH models with alternative distributions. The evidence demonstrates that our proposed 2-step approach that incorporates the modified Hill estimator into the GJR model based on the SGT density with autoregressive conditional skewness and kurtosis provides consistently accurate VaR forecasts.
Essay 2 examines whether the subprime financial turmoil in 2007 resulted in a contagion- a significant increase in correlation after U.S. subprime shock. We apply a modified dynamic conditional-correlation GJR-GARCH model to test for contagion in East Asia, OECD, Latin America and other emerging market. The estimation results show that significant mean and volatility spillovers from the U.S. to international stock markets. Moreover, U.S. had a significant contagious effect on Latin America markets and OECD beginning in Summer of 2007. Finally, the findings evidence that contagion occurred in markets in longer crisis period more than in short crisis period and took place after a country-specific incubation period.
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