A Study on Estimating Value-at-Risk Model for US Dollars against NT Dollars Exchange Rate by Historical Simulation Approach

• Main Authors: Po-Hsiu Hsueh, 薛伯修
• Other Authors: Chu-Hsiung Lin
• Format: Others
• Language: zh-TW
• Published: 2002
• Online Access: http://ndltd.ncl.edu.tw/handle/02118615695157490490

碩士 === 國立高雄第一科技大學 === 財務管理所 === 90 === Abstract We collected the data of US Dollars against NT Dollars interbank exchange rates of Taiwan foreign exchange market from August 25, 1992 to January 2, 2002 to analysis and compare the accuracy of estimating Value at Risk(VaR) under the models of original Historical Simulation Approach and improved Historical Simulation Approach （including Simply Weighted Moving Average Approach、Exponentially Weighted Moving Average Approach and Robust Exponentially Weighted Moving Average Approach ）﹒The empirical results are as follow： 1.Improved Historical Simulation Approaches actually raise the accuracy of VaR estimating. 2.In general, Simply Weighted Moving Average Approach is better than Exponentially Weighted Moving Average Approach and Robust Exponentially Weighted Moving Average Approach for evaluating the accuracy of VaR.