VaR Models for Trading Policy:Empirical Study of Taiwan Eight Industries Index
| Autor: | Chia-Lun Hsu, 許家綸 |
|---|---|
| Rok vydání: | 2012 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 100 Value at Risk (VaR) models have become widely used measures that financial analysts use to quantify market risk; however, few researchers applied the models to construct trading policy. The calculation of VaR values could be achieved with various models and parameters. The study applied three types of models, EWMA, GARCH and Monte Carlo method, to supply VaR values, construct trading policy and assess optimal model and parameters for Taiwan Eight Industries Index. Seven indexes are utilized to evaluate optimal models and parameters, such as negative value of return, rate of return, proportion of positive return, throw, continue throw, the proportion of return and risk and the proportion of return and trade times. The analytical results presented following findings: 1.The suitability and parameters have significant differences in optimal VaR models for varied Industries Index and periods (bull and bear markets). 2.The adequate trade policy based on VaR models could be established with Taiwan Eight Industries Index. Daily rate of return is lower than VaR value is set as buying policy and 3-day moving average is higher than 4% is set as selling policy; except for textile industry is 3%. 3.The rule we built beat the 5-day and 10-day moving average trading policy in accumulate rate of return aspect for eight Industrial Index in bull market and 4 Industrial Index in bear market. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
| Externí odkaz: |
|