| Summary: | 碩士 === 元智大學 === 管理研究所 === 96 === The new risk management rules regulated in the documents published by Basel II, consist of Market Risk, Credit Risk, and Operational Risk. Therefore, we must predict the maximum loss on 99% confidence interval tomorrow when we need to estimate Market Risk.
This paper made use of GARCH model for Market Risk of TSEC Taiwan 50 Index, to forecast the volatility of index series for the next period and the probability associated with the closing price.
In the first, I calculate the volatility of GARCH model in the return of index. In the second, it is presented the estimation of VaR associated with the volatility forecasted. In the third, it is compared with actuality loss. Finally in the last, there are the conclusions arrived.
The empirical results prove that VaR can be estimated exactly right by GARCH model.
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