納入開收盤、最高低價的風險值模型

Value at Risk Model Using Open-Close and High-Low Price

莊益源(I-Yuan Chuang) ； 邱臙珍(Yen-Chen Chiu) ； 李登賀(Deng-Heh Lee)

《經濟研究》 44卷2期 (2008/07) Pp. 139-176

https://doi.org/10.29765/TEI.200807.0001

摘要

文獻上關於風險值的計算，都是以收盤價爲基礎來進行。本文首先提出考慮開盤價、收盤價、最高價及最低價等新資訊來計算風險值的模式，並進一步應用於投資組合上。我們設計的方法，是以Hull and White (1998)模型爲基礎，並藉由開盤價、收盤價、最高價及最低價來更新波動率以計算風險值。然而加入新的資訊是否可以增加風險值模型的績效呢？本文以臺灣集中市場上八支個股與模擬投資組合爲對象，實證研究發現納入新的資訊一般而言有助於風險值的績效。

關鍵字

風險值 ； 開收盤價 ； 最高低價

並列摘要

Most Value at Risk models use close price to calculate the risk measure. This paper proposes a new approach to calculate Value at Risk using open-close and high-low prices information. We further apply our model in the application of portfolio VaR. Our approach is based on Hull and White (1998) model and incorporates open-close and high-low prices to adjust volatility measure. Using eight stocks traded in Taiwan markets, the empirical study shows that our approach can improve the performance of Value at Risk models in general.

並列關鍵字

Value at Risk ； Open-Close Price ； High-Low Price

參考文獻

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