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政大機構典藏 > 商學院 > 統計學系 > 期刊論文 > Item 140.119/18120

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/18120

Title:	FIEGARCH模型之風險值計算──以新台幣兌美元匯率為例
Authors:	張揖平;洪明欽;劉惠美;鄭翔書 Chang, Yi-Ping;Hung, Ming-Chin;Liu, Hui-Mei;Cheng, Siang-Su
Keywords:	風險值 ;緩長記憶性 ; FIEGARCH模型 ; 極端值理論 Value at Risk;Long memory;FIEGARCH model;Extreme value theory
Date:	2004-06
Issue Date:	2008-12-19 14:48:44 (UTC+8)
Abstract:	本研究在資產報酬率之波動具有緩長記憶(long memory)的部分整合指數廣義自迴歸條件異質變異數（fractionally integrated exponential generalized autoregressive conditional heteroskedasticity；簡稱FIEGARCH）模型下，配合極端值理論(extreme value theory)計算風險值(value at risk)。本研究以新台幣兌美元匯率為例，實證結果發現其日報酬率之波動具有緩長記憶現象，且FIEGARCH模型配合極端值理論之風險值計算法的表現較為穩定。 In this paper, we use the FIEGARCH model combined with extreme value theory to compute Value at Risk (VaR) measure for daily asset returns. Our empirical example in using TWD/USD exchange rate returns shows that the data reveal long memory phenomenon and the FIEGARCH model combined with extreme value theory provides a good representation in VaR estimation framework.
Relation:	智慧科技與應用統計學報, 2(1), 51-70
Data Type:	article
Appears in Collections:	[統計學系] 期刊論文

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