Threshold-GARCH 模型於金融控股公司市場風險值之研究
Threshold-GARCH Model in Value-at-Risk of Financial Holdings
Date Issued
2006
Date
2006
Author(s)
Hsu, Chung-Hsin
DOI
en-US
Abstract
Due to deregulation and globalization, financial institutions can do diversiform activities. Therefore, trading accounts in financial institutions not only have become larger but also have become much more complex than before. Risk management becomes an important issue because of competitiveness in financial markets.
We adopt Threshold-GARCH model to forecast VaR of two financial holding companies in Taiwan. And we check if the forecasting results are more accurate when variance or standard deviation is included in the mean equation. However, trading data of financial holding companies are highly confidential and are not publicly accessible. To solve the problem mentioned above, we conduct our models based on two simulated portfolios. The holding period of simulated portfolios is from 2000/11/28 to 2003/4/15. We use first 400 observations to estimate parameters and compare the forecasting results with the rest of observations.
We find that Threshold-GARCH model performs well in VaR forecasting whether variance or standard deviation is included in the mean equation or not. And news impact seems to be asymmetric in our testing results. We also find that there is a trade-off between market risk capital charge and the number of violations.
Subjects
GARCH
Threshold-GARCH
市場風險
風險值
market risk
value-at-risk
Type
thesis
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