| Summary: | 碩士 === 臺灣大學 === 農業經濟學研究所 === 98 === Since 2007 the subprime mortgage crisis attacks financial market in the whole world, many financial institutions take risk management’s subject seriously again. Therefore financial institutions have to apply a correct standard to measure market risk. From Group of Thirty, the Basel Committee and so on international authoritative organization making value at risk (VaR) to measure exposure of market risk, the VaR has become one of the most important tools for market risk management. So the goal of this study is to find the model which is better for forecasting the VaR precisely in Taiwan’ stock portfolio. Especially aims at venture capital firm and privately offered fund and so on to provide a reference of risk management.
The purpose of this study is to evaluate three models, which are GARCH model, TGARCH model, and EGARCH model, for measuring VaR precision. The data of Taiwan eight major industries stock market indexes was collected to evaluate these three models. The sampling period is from January 2, 2007 to March 31, 2010. Finally, the performances of three models are tested by the evaluating methods of accuracy, conservatism and efficiency according to the rules of backing test, RMSRB, RMSE, and MAPE.
Via the empirical results, this research finds the cement industry, the foodstuff industry, the textile industry, the electrical machinery industry and the construction industry take EGARCH(1,1) as the most suitable model. The financial industry and the plastic industry take GARCH(1,1) as the most suitable model. The paper-making industry takes TGARCH(1,1) as the most suitable model. To sum up, using the EGARCH model to estimate the VaR in Taiwan majority industries is better than the other two models.
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