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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: http://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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