多空交易部位之最適風險值模型研究－以股票、商品及外匯市場為例

Value at Risk Modeling for Long and Short Trading Positions: Stock Exchanges, Commodities, and Foreign Exchanges

杜玉振(Yu-Chen Tu) ； 魏郁珣(Yu-Hsun Wei)

《創新與管理》 7卷1期 (2009/11) Pp. 1-28

https://doi.org/10.30118/JIM.200911.0001

摘要

本研究旨在探討我國交易市場之最適風險值模型，文中分別應用參數、非參數、與半參數模型來估計國內三種不同市場（股票市場、商品市場、與外匯市場）之風險值，所採用之估計方法有：EWMA、GARCH、EGARCH、TGARCH、APARCH、歷史模擬法、過濾歷史模擬法等共15種模型，最後再以保守性、精確性、效率性等評估準則進行模型檢驗，經實證顯示：參數法的TGARCH模型最佳。值得強調的是，本研究同時探討買入與放空部位之風險值，將比過去多數文獻只考慮買入部位更具週延性。

關鍵字

風險值 ； 交易部位 ； 參數模型 ； 非參數模型 ； 半參數模型

並列摘要

This paper employed three kinds of different statistical methods, parametric, nonparametric, and semi-parametric methods, to investigate the precise of predicting the one-day-ahead value-at-risk (VaR) measured by EWMA, GARCH, EGARCH, TGARCH, APARCH, HS, and FHS models in three types of markets (stock exchanges, commodities, and exchange rates). Unlike prior studies focused on the long trading position only, we calculated both for short and long trading positions of the VaR. Finally, the performances of all models were tested by the evaluating methods of conservatism, accuracy and efficiency. The empirical results show that TGARCH model has the best forecasting performance.

並列關鍵字

value at risk ； trading positions ； parametric model ； nonparametric model ； semi-parametric model