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題名：價格跳躍下的風險值估計--以S&P 500現貨、美國30年公債期貨與布蘭特原油期貨為例
書刊名：中原企管評論
作者：林允永／邱建良 引用關係／洪瑞成 引用關係
作者(外文)：Lin, Yun-yung／Chiu, Chien-liang／Hung, Jui-cheng
出版日期：2005
卷期：3:2
頁次：頁99-130
主題關鍵詞：GARJI模型；風險值；布蘭特原油期貨；S&P500指數現貨；美國30年期公債期貨；GARJI model；Value-at-risk；Brent oil futures；S&P 500 index；30-year US treasury bond futures
原始連結：連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
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  • 共同引用共同引用:19
  • 點閱點閱:28
本篇文章採用Maheu and McCurdy（2004）所提出GARJI模型和GARCH模型估算不蘭特原油期貨、S＆P500指數現貨與美國30年期公債期貨 之風險值。由於GARJI模型可反應市場對於非預期的新訊息所造成的衝擊且具有較好的樣本外波動預測能力，因此本文利用GARJI模型捕捉此 不連續的狀態，並將此報酬不尋常表現的情形納入計算風險值的過程中，同時將偏態係數納入百分位數的修正。由實證結果可知，在通過回溯 測試的前提下，GARJI的穿透率和RMSE均較GARCH模型低，因此其風險管理的績效較GARCH模型優異，而在壓力測試上也有佳的表現。
This study employs GARJI (Maheu and McCurdy, 2004) and GARCH models to calculate value-at-Risk (VaR) of Brent oil futures, S&P500 index, and 30-year US Treasury Bond futures. GARJI model not only captures occasional large changes in price which is induced by the impact of unexpected news arrivals, but also has better forecasting ability of out-of-sample volatilities. Therefore, we adopt GARJI model to take these advantages and modify percentile by conditional skewness coefficient to the computation of VaR. The empirical results indicate that GARJI model has better risk management performance than GARCH model as viewpoints of failure rate and RMSE, and it also performs better than GARCH model in Stress-Testing.
期刊論文
1.Bates, D. S.(1991)。The Crash of '87: Was it Expected? The Evidence from the Options Markets。The Journal of Finance，46(3)，1009-1044。  new window
2.Fortune, P.(1999)。Are stock returns different over weekends?A jump diffusion analysis of the weekend effect。New England Economic Review，September/October，3-19。  new window
3.Wang, Peijie、Wang, Ping。Foreign Exchange Market Volatility in Southeast Asia。Asia-Pacific Financial markets，6(3)，235-252。  new window
4.Wang, P.、Wang, P.(2001)。Equilibrium adjustment, basis risk and risk transmission in spot and forward foreign exchange markets。Applied Financial Economics，11(2)，127-136。  new window
5.Giot, P.、Laurent, S.(2003)。Market Risk in Commodity Markets: A VaR Approach。Energy Economics，25(5)，435-457。  new window
6.Jarque, C. M.、Bera, A. K.(1987)。A Test for Normality of Observations and Regression Residuals。International Statistical Review，55(2)，163-172。  new window
7.Chan, W. H.、Maheu, J. M.(2002)。Conditional Jump Dynamics in Stock Market Returns。Journal of Business and Economic Statistics，20(3)，377-389。  new window
8.林丙輝、葉仕國(19990900)。臺灣股票價格非連續跳躍變動與條件異質變異之研究。證券市場發展，11(1)=41，61-92。new window  延伸查詢new window
9.McNeil, A. J.、Frey, R.(2000)。Estimation of Tail-related Risk Measure for Heteroscedastic Financial Time Series: An Extreme Value Approach。Journal of Empirical Finance，7(3/4)，271-300。  new window
10.Jorion, P.(1998)。On Jump Processes in the Foreign Exchange and Stock Markets。The Review of Financial Studies，1(4)，427-445。  new window
11.Longin, Francois M.(2000)。From Value at Risk to Stress Testing: The Extreme Value Approach。Journal of Banking & Finance，24(7)，1097-1130。  new window
12.Engle, R. F.(1982)。Autoregressive Conditional Heteroske- dasticity with Estimates of the Variance of U.K. Inflation。Econometrica，50(4)，987-1008。  new window
13.Danielsson, J.、De Vries, C. G.(1997)。Tail Index and Quantile Estimation with Very High Frequency Data。Journal of Empirical Finance，4(2/3)，241-257。  new window
14.Maheu, John M.、Mccurdy, Thomas H.(2004)。News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns。Journal of Finance，59(2)，755-793。  new window
15.Schwarz, Gideon(1978)。Estimating the Dimension of a model。The Annals of Statistics，6(2)，461-464。  new window
16.Fama, E. F.(1965)。The behavior of stock market prices。Journal of Business，38(1)，34-105。  new window
17.Bollerslev, Tim(1987)。A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return。The Review of Economics and Statistics，69(3)，542-547。  new window
18.Bollerslev, Tim(1990)。Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model。The Review of Economics and Statistics，72(3)，498-505。  new window
19.Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika，75(2)，335-346。  new window
20.Kupiec, Paul H.(1995)。Techniques for Verifying the Accuracy of Risk Measurement Models。Journal of Derivatives，3(2)，73-84。  new window
研究報告
1.Eraker, B.、Johannes, M. S.、Polson, N. G.(1999)。Return Dynamics in Continuous-Time with Jumps to Volatility and Returns。University of Chicago, Graduate School of Business。  new window
2.Das, S. R.(1998)。Poisson-Gaussian Processes and the Bond Market。National Bureau of Economic Research。  new window
圖書
1.Bachelier, L.(1900)。Theory of Speculation。Paris, France：Gauthier-Villars。  new window
2.Jorion, Philippe(2000)。Value at Risk: The New Benchmark for Managing Financial Risk。Irvine：University of California。  new window
其他
1.Ball, C. A. and W. N. Torous(1985)。On Jumps in Common Stock Prices and Their Impact on Call Pricing。  new window
2.Chahal, M. S and J. Wang(1998)。Jump Diffusion Processes and Emerging Bond Stock Markets; An Investigation Using Daily Data。  new window
3.Colm, K. and A. J. Patton(2000)。Multivariate GARCH Modeling of Exchange Volatility Transmission in the European Monetary System。  new window
4.Das, S. R.(2002)。The Surprise Element: Jumps in Interest Rates。  new window
5.Duffie, D. and J. Pan(2001)。Analytical Value-at-Risk with Jumps and Credit Risk。  new window
6.D’Vari, R and J.C. Sosa(2000)。Value at Risk Estimates for Brady Bond Portfolios。  new window
7.Giot, P and S. Laurent.(2004)。Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models。  new window
8.Huang, Y. C. and B. J. Lin(2004)。Value-at-Risk Analysis for Taiwan Stock Index Futures: Fat Tails and Conditional Asymmetries。  new window
9.Kim, J. and C. Finger(2000)。A Stress Test of to Incorporate Correlation Breakdown。  new window
10.Liesenfeld, R. and R. C. Jung(2000)。Stochastic Volatility Models: Conditional Normality versus Heavy-Tailed Distributions。  new window
11.Mandelbrot, B.(1967)。The Variation of Some Other Speculative Prices。  new window
12.Venkatesh, P. C.(2003)。Value at Risk for Corporate Bond Portfolios。  new window
 
 
 
 
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