A Research about the VaR of Foreign Currency Futures in Taiwan Futures Exchange

• Main Authors: CIOU,SIAN-SHU, 邱嫻淑
• Other Authors: SZU,WEN-MING
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/dwdq25

碩士 === 國立高雄第一科技大學 === 金融系碩士班 === 106 === This study tries to find a better method for estimating the VaR of the foreign currency futures listed in Taiwan Futures Exchange, including RHF, RTF, XEF, and XJF. I use three models to estimate the VaR of the futures, including delta-normal model, which considers the first two moments of the distribution, Cornish-Fisher expansion model, which considers the skewness and the kurtosis of the distribution, and historical simulation method. I use backtests to decide which estimation model is more reliable. I find the Cornish-Fisher expansion model performs better than the other two models for all the four foreign currency futures. And relative to the moving average model, the exponentially weighted moving average model suggests estimation values for the parameters of the models to determine better estimation for the VaR. Finally, setting decay factor equal to 0.94 can get a pretty good estimation for the VaR although there is no consistent result for different foreign currency futures.