| Summary: | 碩士 === 國立屏東科技大學 === 財務金融研究所 === 94 === For a long term, the price fluctuation of stock market is usually leading ahead of the expression of economical substance activities. The Financial Holding Corporations reflect the stock price whether they have the performance or not. The purpose of this thesis is to provide useful information for investing the Financial Holding Corporations by viewing the return and risk of their investment targets. Studying documents indicate that TGARCH model can represent leverage effect clearly on the financial market. For this reason, we can use the rate of return of stock to match up ARMA-TGARCH model. Furthermore, Monte Carlo simulation is adopted to set up VaR(Value at Risk) model in order to compare to the risk of the stock. Then return/risk is regarded as an index to estimate the Financial Holding Corporations’ performance. Finally, we use three indices of price error measurement for comparison of their forecast abilities. The empirical results of our experiments are as follows: (1) The stock price return of the fourteen Financial Holding Corporations have autoregressive and heteroscedasticity which can be described by ARMA-TGARCH model. (2) The efficiency and accuracy of this model can be improved by joining market index return array to conduct independent variable. (3) When the period of the sample increases, the performance is partially consistent with the studying documents.
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