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| Title: | 風險值與期望損失之不同模型的績效評估—以商品市場為例
The Performance Evaluation of Value-at-Risk and Expected Shortfall Models Evidence from Commodity Market |
| Authors: | 康涴茜
Kang, Wo-Chien |
| Contributors: | 顏佑銘
Yen, Yu-Min
康涴茜
Kang, Wo-Chien |
| Keywords: | 風險值
期望損失
FZ損失函數
預測
績效評估
Value-at-risk
Expected shortfall
FZ loss function
Forecast
Performance evaluation |
| Date: | 2022 |
| Issue Date: | 2022-08-01 17:04:45 (UTC+8) |
| Abstract: | 巴塞爾公約已建議使用風險值（Value-at-Risk, VaR）和期望損失(Expected shortfall, ES）作為衡量尾端風險之工具。本研究採用了不同的模型來預測黃金、白銀、銅以及原油四種商品的VaR和ES。使用的方法包括了經由FZ損失函數(Fissler and Ziegel, 2016)來進行半參數模型估計與其他傳統模型。本研究以滾動窗方法估計VaR和ES模型並使用三種損失函數、命中率檢定以及Diebold-Mariano(DM)檢定進行預測績效評估。實證結果顯示在風險值水準為0.01與0.025之下，一些使用了FZ損失函數的半參數模型及非對稱GARCH模型，都各可以有不錯的表現；而在風險值水準為0.05與0.1之下，一些GARCH模型的預測績效平均而言反而較佳。
The Basel III Accord has proposed using Value-at-Risk (VaR) and Expected Shortfall (ES) as tail risk measures. The main purpose of this study is to forecast VaR and ES with different models for four commodities: gold, silver, copper, and crude oil. We use semi-parametric models with the FZ loss function (Fissler and Ziegel, 2016) and other traditional models to estimate VaR and ES with a rolling window approach. To evaluate forecasts performances, we use three loss functions, hit proportion test, and Diebold-Mariano (DM) test. The empirical results show that some semi-parametric models with the FZ loss function and asymmetric GARCH models perform well under the VaR levels of 0.01 and 0.025. Some GARCH models have relatively better forecasts performances under the VaR levels of 0.05 and 0.1. |
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| Description: | 碩士
國立政治大學
國際經營與貿易學系
109351027 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0109351027 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202200574 |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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