洪明欽，王仁德
摘要/Abstract關鍵詞：風險值，Riskmetrics模型，GARCH模型，拔靴複製法 As the commercial products are continuously renovated, new financial instruments are more complicated than ever. It is hard for managers to get the whole picture of risks in business. Since the authoritative organizations, such as G30 and BIS, recommend the Value-at-Risk (VaR) as a way to quantify marketing risks, VaR has recently became an important tool on market risk management. This research takes NT$/US$ exchange rate as our empirical data. It also compares the VaR and predicting effectiveness for different models. The models we discussed consist of two J.P. Morgan's Riskmetrics models(SMA and EWMA)、 GARCH model and non-parametric bootstrap method. Our conclusions include (1) GARCH model performs well in short-holding periods. However, it unreasonably overestimates in long-holding periods. (2) Overall, Value at Risk computed by Bootstrap method performs stable. Key words: Value-at-Risk (VaR), Riskmetrics model, GARCH model, Bootstrap . |