日經225股價指數期貨異常波動之風險衡量

Abnormal Risk Measurements in Nikkei 225 Stock Index Futures

鄭婉秀(Wan-Hsiu Cheng) ； 胡緒寧(Hsu-Ning Hu)

《東海科學》 9卷1期 (2007/07) Pp. 123-146

https://doi.org/10.29723/TS.200707.0009

摘要

本文探討日經225股價指數期貨於大阪交易所與新加坡市場之波動與風險值，採用常態分配與GED分配跳躍模型進行實證分析，同時將樣本期間之四大波動期間區分出，深入分析各子期間之波動與風險。實證結果發現在新加坡市場，GED跳躍模型顯著優於常態分配模型，但在大阪市場則無。各市場各模型之變異數方程式皆呈現顯著GARCH效果，且跳躍變異數與平均數皆具與時變異之特性，而四大波動期間中，以2003年下半年日本經濟復甦之衝擊最為強烈，伊拉克戰爭之衝擊居次，且新加坡交易所對於現貨指數的波動產生相對較大的衝擊。在風險值預測部分，明顯發現GED分配跳躍模型不管在全樣本期間或是各子期間在新加坡市場之預測結果均較佳，而大阪交易所在負面消息與正面消息發生時之預測結果則不一致。整體而言，常態分配加上跳躍已經能捕捉大阪交易所日經225股價指數期貨之波動，然而在新加坡市場，其異常波動程度較大，由GED分配加上跳躍的估計模型對於期貨波動有較佳的掌握度。

關鍵字

日經225股價指數期貨 ； 波動 ； 跳躍 ； GED分配

並列摘要

This paper investigates the volatility and Value-at-Risk (VaR) of Nikkei 225 stock index futures in Osaka Securities Exchange (OSE) and Singapore Exchange Limited (SGX) using jump model with normal and GED distribution. Four sub-periods are selected to deeply analyze the volatility and risk of each individual peroid. The empirical results show that GED jump model is superior than the normal jump model in SGX, but insignificant in OSE. The GARCH effects and time-varying jump both exists in all markets. We find that the strongest shock appeared in the last six months of the year 2003, within the four sub-periods, due to the economic recovery. The second shock is due to the Iraq War. Moreover, the reactions in SGX are stronger than OSE while facing the same shocks in Nikkei 225 stock index. As in forecasting the VaR, the performance of the GED jump model is better in SGX, but the results are not consistent in OSE. In the summary, the volatility of Nikkei 225 stock index futures is well captured by the normal jump model in OSE. On the other hand, due to the stronger abnormal volatilities, using GED jump model would be better than the normal in SGX.

並列關鍵字

Nikkei 225 stock index futures ； volatility ； jump ； GED distribution

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