NA-GARCH Model in Value-at-Risk of Financial Holdings
| Autor: | Ling-Chin Kao, 高綾璟 |
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| Rok vydání: | 2005 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 93 In this paper, we employ EGARCH, representing rotation asymmetry effect, and NA-GARCH, representing shift asymmetry effect, with variations in their mean equations : ARMA(1,1), AR(1), MA(1), and “ in –mean” models as VaR forecast models. Forward testing of one day-ahead VaR performance under 99 % and 95 % confidence levels is evaluated with realized P &L for 216 observations in two simulated portfolios standing for financial holdings in Taiwan. Based on violation number, we also consider other performance indicators such as mean VaR, aggregate, mean and max violation to strike a balance between model effectiveness and capital charge efficiency. The main findings are as follows： 1.All the VaR forecast models, except for ARMA(1,1) under 99%, in EGARCH and NA-GARCH achieve the targeted violation rate and can be viewed as qualified internal models for banks. 2.ARMA(1,1) models have almost the same volatile trend as real P& L time series, yet the one day lag makes more violations. In addition, the excessive volatility is the implication of overfitting problem. 3.No particular VaR model can distinctively outperform others and serves as the best-fitting model, nor can we tell the shift or the rotation asymmetric effect dominates the portfolios during the observation period. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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