美國、中國與台灣股票指數極端風險值的績效之影響

The Impact of Extreme Value Theory Based on Value at Risk from United States, China and Taiwan Stock index Performance

毛臆菱(Yi-Ling Mao)

指導教授 ： 李沃牆

共同指導教授 ： 池秉聰

淡江大學/商管學院/財務金融學系碩士班/碩士(2020年)

https://doi.org/10.6846/TKU.2020.00849

摘要

從2018年到現在最引人注目的全球議題就是中美貿易戰，全世界各國都持續在關注此議題。當然，中美貿易戰開戰以來衝擊無數個產業，全球的股票指數也受到一定的影響。美國與中國分別身為全世界第一及第二大經濟體，台灣的經濟主要也仰賴美國與中國，而這場貿易戰對台灣來說也會受到一定的影響。
本研究主要探討台灣加權股價指數、中國上證A股指數、中國深證A股指數、美國紐約道瓊工業平均指數、美國紐約S&P500股價指數及美國那斯達克100指數在極端事件下的風險值，分別以GARCH、E-GARCH與GJR-GARCH模型與加入極端值理論的混和模型來進行比較，並根據上述模型計算出的結果進行回測，檢視何種模型具有較佳的結果。
實證結果顯示，使用GARCH風險值模型與使用GARCH結合極端值理論模型計算出的風險值進行中美貿易戰前與後的比較，我們可以發現所有的模型在中美貿易戰後的風險值都較中美貿易戰前還來的高，這代表著中美貿易戰的開始也影響著這六個標的。最後我們透過概似比檢定比較不同模型間的評估績效，從結果我們可以發現使用加入極端值理論的混和模型計算的風險值有比GARCH、E-GARCH與GJR-GARCH模型計算的風險值來的更準確。

關鍵字

風險值 ； 極端值理論 ； 動態極值理論 ； GARCH-EVT

並列摘要

The most striking global issue from 2018 to the present is the U.S.-China trade war, and countries around the world continue to pay attention to this issue. Of course, since the start of the U.S.-China trade war, it has impacted countless industries, and global stock indexes have also been affected to a certain extent. The United States and China are respectively the first and second largest economies in the world, Taiwan’s economy mainly depends on the United States and China, and this trade war will also be affected to a certain extent for Taiwan.
This research mainly discusses the Value at Risk of Taiwan Capitalization Weighted Stock Index, China Shanghai A-share index, China Shenzhen A-share index, Dow Jones Industrial Average, Standard & Poor’s 500 and NASDAQ 100 Index under extreme events. The GARCH, E-GARCH and GJR-GARCH models are compared with the hybrid model with Extreme Value Theory, and the backtesting is performed based on the results calculated by the above model to check which model has th better results.
The empirical results show that using GARCH model and using GARCH combined with the Extreme Value Theory model to calculated Value at Risk to compared before and after the U.S.-China trade war. We can find that the Value at Risk of all models after the U.S.-China trade war is higher than before the U.S.-China trade war, which means that the beginning of the U.S.-China trade war also affects these six targets. Finally, we through backtesting to compare the evaluation performance between different model. From the results, we can find that calculated the Value at Risk by the hybrid model with Extreme Value Theory is more accurate than calculated the Value at Risk by the GARCH, E-GARCH and GJR-GARCH models.

並列關鍵字

Value-at-Risk ； Extreme Value Theory ； Dynamic Extreme Value Theory ； GARCH-EVT

參考文獻

參考文獻

一、 中文文獻

1. 楊愛軍、張杰(2011)，「基於極值理論的滬市VaR和ES風險價值度量」，山東經濟，第27卷，第5期，頁100-105。

2. 翟永會、趙飛(2019)，「比特幣市場風險度量-基於GARCH-t模型與GEV模型的比較研究」，金融，第9卷，第1期，頁19-27。

3. 蔣晶晶、葉斌、馬曉明(2015) ，「基於GARCH-EVT-VaR模型的碳市場風險計量實證研究」，北京大學學報，第51卷，第3期，頁511-517。