A Research about value at Risk of Taiwan stock index option

• Main Authors: cheng- keng hung, 洪正耿
• Other Authors: wen-ming szu
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/51052690446424237486

碩士 === 國立高雄第一科技大學 === 金融營運所 === 95 === This article research about value at risk of Taiwan stock index option . We use two methods to estimate this volatility— Moving average method and Exponentially weighted moving average method. In order to count the Moving average method of moving window we used three kinds of data(1000 days, 250 days and 100 days) and used three factors of decay (0.97, 0.95 and 0.93). Moreover, we applied two separate models (Delta-Gamma and Delta-Gamma-Delta) to calculate the Value at Risk , Furthermore, the theory was tested at two separate confidence levels (99% and 90%), which produces a total of 24 conditions considered within the experiment’s results. We will measure the values across these 24 conditions and compare them to the Theoretical Value. Thus, we will determine the best Value at Risk measurement model。 Data for this experiment are taken from three sources: the Taiwan Economic Journal , the Taiwan stock Index Option and 10 days of CP2 secondary market two way quotation rate. The sample data ranges in date from July 22, 1998 to March 16, 2007. Our conclusions are: 1.Because the Value at Risk curve presently leans toward the right side, and the Delta-Gamma-Delta model supposes a symmetrical figure, an overestimate of the Value at Risk is assumed.。 2.Theta Value will descend with the close of the maturity date, so long term data will also overestimate the Value at Risk.。 3.Using a smaller λ value is more important than using recent data. Which will lead to the results of the backing test of the Delta-Gamma Model and the Delta-Gamma-Delta Model are lowest。