GJR-GARCH模型於金融控股公司市場風險值之研究
GJR-GARCH Model in Value-at-Risk of Financial Holdings
Date Issued
2005
Date
2005
Author(s)
Lin, Yun-Ju
DOI
en-US
Abstract
Financial environment has changed more rapidly in recent years. Due to the opening of innovative financial products and vigorous competition, the trading activities are increasing and produce significant market risk. Value-at-Risk（VaR）now has become a standard measure of financial market risk.
In this study, we introduce an asymmetric GARCH model, GJR-GARCH, in Value-at-Risk. We want to see if GJR-GARCH is a better method to evaluate the market risk of financial holdings. Because of lacking the actual daily P&L data, we simulated portfolio A and B, representing FuBon and Cathay financial holdings. The holding period stretches from 2000/11/28 to 2003/4/15. We take 400 observations as Sample Group to do the backward test and use the rest observations to forecast the change of VaR
We find GJR-GARCH works very well in VaR forecasting. However, it also performs very well under the symmetric GARCHM model. There seems no leverage effect as the previous study. Further, we open a 5-day moving window to update parameter estimates. Comparing the results under different models, we find that the model is more accurate by updating parameter estimates. It is a trade-off between violations and capital charges
Subjects
市場風險
金融控股公司
GJR GARCH
GARCH
風險值
financial holdings
market risk
value-at-risk
Type
thesis
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