Value-at-Risk Estimations of Foreign Investments Involving Exchange Rate and Stock Market Risks - A Comparison between GARCH Family Models

• Main Authors: Cheng-Yuan Kao, 高振原
• Other Authors: Wei-Chung Miao
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/c4p8an

碩士 === 國立臺灣科技大學 === 財務金融研究所 === 106 === This thesis studies the effective measurement of Value-at-Risk (VaR) when investors hold positions involving duel risks from exchange rate market and foreign stock market. GARCH family models are used to incorporate the conditional heteroskedasticity of each individual asset. To further incorporate the correlation between assets, we apply the CCC-GARCH model to improve the performance of VaR estimation. The accuracy of VaR estimation is examined by penetration rates. The empirical results show that the CCC-GARCH model outperforms other competing models. In the measure of correlation between two assets, models considering correlation across assets are better suited for the estimation of VaR. In addition, the performance of ETF is superior to exchange rate in IGARCH model, showing the phenomenon of volatility persistence. Furthermore, t distribution provides a better estimation than normal distribution revealing the return distribution exhibits tail-fatness. Because of the occurrence of the extreme value, t distribution with the character of fat-tail can reflect the practical situation of financial markets for VaR estimation.