Application of BEKK Multivariate GARCH Model at Portfolio
碩士 === 淡江大學 === 財務金融學系碩士班 === 94 === The purpose of this article is to discuss the different weighted investment in international investment portfolio allocation. Due to equal weighted investment portfolio is the first assumption in risk forecasting in ordinary investment portfolio model research, h...
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ndltd-TW-094TKU052140592016-05-30T04:21:19Z http://ndltd.ncl.edu.tw/handle/81322176859138906337 Application of BEKK Multivariate GARCH Model at Portfolio 國際資產投資組合之實證研究 Hsin-Ming Hou 侯幸明 碩士 淡江大學 財務金融學系碩士班 94 The purpose of this article is to discuss the different weighted investment in international investment portfolio allocation. Due to equal weighted investment portfolio is the first assumption in risk forecasting in ordinary investment portfolio model research, however this assumption often differ from real situation. This article applies BEKK express constructive condition in same variables matrix of multi-variables GARCH model from Engle and Kroner (1995) and get the un-equal investment weighted to establish an adjusted un-equal investment portfolio allocation, and then compare to the equal weighted investment portfolio allocation. The real examination researches discover that through the assets combination of NASDAQ index, British Pound vs. US dollar and NYMEX light crude oil futures portfolio, the adjusted un-equal weighted investment portfolio has the phenomenon of volatility grouping and the character of high narrow peak allocation compare to the equal weighted investment allocation, so it has better ability in forecasting the risks than the equal weighted investment portfolio. Chien-Liang Chiu Yu-Lung Cheng 邱建良 陳玉瓏 2004 學位論文 ; thesis 42 zh-TW |
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碩士 === 淡江大學 === 財務金融學系碩士班 === 94 === The purpose of this article is to discuss the different weighted investment in international investment portfolio allocation. Due to equal weighted investment portfolio is the first assumption in risk forecasting in ordinary investment portfolio model research, however this assumption often differ from real situation.
This article applies BEKK express constructive condition in same variables matrix of multi-variables GARCH model from Engle and Kroner (1995) and get the un-equal investment weighted to establish an adjusted un-equal investment portfolio allocation, and then compare to the equal weighted investment portfolio allocation.
The real examination researches discover that through the assets combination of NASDAQ index, British Pound vs. US dollar and NYMEX light crude oil futures portfolio, the adjusted un-equal weighted investment portfolio has the phenomenon of volatility grouping and the character of high narrow peak allocation compare to the equal weighted investment allocation, so it has better ability in forecasting the risks than the equal weighted investment portfolio.
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Chien-Liang Chiu |
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Chien-Liang Chiu Hsin-Ming Hou 侯幸明 |
author |
Hsin-Ming Hou 侯幸明 |
spellingShingle |
Hsin-Ming Hou 侯幸明 Application of BEKK Multivariate GARCH Model at Portfolio |
author_sort |
Hsin-Ming Hou |
title |
Application of BEKK Multivariate GARCH Model at Portfolio |
title_short |
Application of BEKK Multivariate GARCH Model at Portfolio |
title_full |
Application of BEKK Multivariate GARCH Model at Portfolio |
title_fullStr |
Application of BEKK Multivariate GARCH Model at Portfolio |
title_full_unstemmed |
Application of BEKK Multivariate GARCH Model at Portfolio |
title_sort |
application of bekk multivariate garch model at portfolio |
publishDate |
2004 |
url |
http://ndltd.ncl.edu.tw/handle/81322176859138906337 |
work_keys_str_mv |
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