全球新冠肺炎前後風險值的比較

2020年持續整年最引人注目的議題為新冠肺炎(COVID-19)，也被稱為第二次世界大戰以來全球面臨最嚴峻的危機，對眾多產業帶來衝擊，造成市場氣氛惡化而國際金融市場更是大幅震盪。本文研究主要為探討，台灣加權股價指數、上海綜合指數股價指數、中國深圳成分股指數、日經225指數、韓國綜合指數、美國紐約道瓊工業平均指數、那斯達克100指數、美國紐約S&P500股價指數等指數，在極端事件下的風險值，將多個市場針對新型冠狀病毒的風險影響，並將極值理論加入GARCH家族模型，形成GARCH-EVT、E-GARCH-EVT、GJR-GARCH-EVT模型進行比較做分析，同時觀察新冠肺炎(COVID-19)疫情前和後疫情時期風險值的之變化，並根據回測結果討論何種模型將能產生較佳結果。本研究實證結果顯示，使用GARCH模型與加入極值的GARCH模型結果中，多數國家均顯示COVID-19後期風險值有降低的現象。最後再透過概似比檢定比較各模型間的評估績效。綜合而言，在本研究樣本下，GARCH家族模型比加入極值理論後所計算的風險值，表現並未較佳。

關鍵字

新冠肺炎；風險值； GARCH模型；極值理論

並列摘要

The most notable issue that will continue throughout the year in 2020 is the new crown pneumonia (COVID-19), also known as the most severe crisis the world has faced since the Second World War, which has impacted many industries and caused a deterioration in market sentiment. The financial market fluctuates sharply. This research mainly discusses the Value at Risk of Taiwan Capitalization Weighted Stock Index, Shanghai Composite Index stock price index, China Shenzhen constituent stock index, Nikkei 225 Index, Korea Composite Index, New York Dow Jones Industrial Average, Nasdaq 100 Index, New York S&P500 Indices such as stock price index, the value of risk under extreme events, the risk impact of multiple markets against the new coronavirus, and the extreme value theory is added to the GARCH family model, Form GARCH-EVT, E-GARCH-EVT, GJR-GARCH-EVT models for comparison and analysis. At the same time, observe the changes in the risk value of the new coronary pneumonia (COVID-19) before and after the epidemic, and discuss what to do based on the backtest results This model will produce better results. Form GARCH-EVT, E-GARCH-EVT, GJR-GARCH-EVT models for comparison and analysis. At the same time, observe the changes in the risk value of the new coronary pneumonia (COVID-19) before and after the epidemic, and discuss what to do based on the backtest results This model will produce better results.