Research on Value at Risk of Taiwan Real Estate Investment Trusts
| Autor: | Jui-Hsia Hsu, 徐瑞霞 |
|---|---|
| Rok vydání: | 2007 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 95 This paper uses ARCH model, GARCH model, EGARCH model and TGARCH model to investigate current risk of Taiwan Real Estate Investment Trusts, then estimates value at Risk (VaR) by current risk. The variables are prior variance, prior residual, unexpected change shock, bad or good news and expected change strength. After all, we evaluate the accuracy of VaR estimated by the four models by Back Testing. The results are as follows： (1) From the consequence of the four models, current risk is affected by prior variance, prior residual, unexpected change shock, bad or good news and expected change strength. (2) From the result of AIC and SBC, EGARCH and TGARCH models are better than GARCH and ARCH models. (3) From the estimation of VaR, the value from EGARCH model is the lowest, because EGARCH model has the most variables, it can estimate VaR completely. (4) From Back Testing, hit ratio of EGARCH model is the lowest, the second is TGARCH model. In conclusion, EGARCH model is better than the other three models. Keywords：Vaule at Risk，VaR；Back Testing，GARCH model，Real Estate Investment Trusts |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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