| Summary: | 博士 === 淡江大學 === 財務金融學系博士班 === 95 === This study focuses on VaR measurement and VaR-based hedge ratio, and it contains three parts. The first part is titled “Estimation of Value-at-Risk under Jump Dynamics and Asymmetric Information”, the second part is named “Hedging with Zero-Value at Risk Hedge Ratio”, and the last one is “Bivariate Markov Regime Switching Model for Estimating Multi-period zero-VaR Hedge Ratios and Minimum Variance Hedge Ratios”.
A brief introduction of these three parts is described as follow: The first part employs GARJI, ARJI and asymmetric GARCH models to estimate the one-step-ahead relative VaR and compare their performances among these three models. Two stock indices (Dow Jones industry index and S&P 500 index) and one exchange rate (Japanese yen) are used to estimate the model-based VaR, and we investigate the influences of price jumps and asymmetric information on the performance of VaR measurement. The empirical results demonstrate that, while asset returns exhibited time-varying jump and the information asymmetric effect, the GARJI-based and ARJI-based VaR provide reliable accuracy at both low and high confidence levels. Moreover, as MRSB indicates, the GARJI model is more efficient than alternatives.
In the second part, a mean-risk hedge ratio is derived on the foundation of Value-at-Risk. The proposed zero-VaR hedge ratio converges to the MV hedge ratio under a pure martingale process or an infinite risk-averse level. In empirical section, a bivariate constant correlation GARCH(1,1) model with an error correction term is adopted to calculate zero-VaR hedge ratio, and we compare it with the one proposed by Hsin et al. (1994) which maximized the utility function as their objective.
The last part extends one period zero-VaR hedge ratio (Hung et al., 2006) to the multi-period case, and also employed a four-regime bivariate Markov regime switching model and diagonal VECH GARCH(1,1) model to estimate both zero-VaR and MV hedge ratios for Dow Jones and S&P 500 stock indices. Dissimilar with Bollen et al. (2000), the in-sample fitting abilities and out-of-sample variance forecasts between regime-switching and GARCH approaches are investigated in a bivariate case through in- and out-of-sample hedging performances. The empirical evidences show that the regime switching approach provides better in-sample fitting ability; however, GARCH approach has better out-of-sample variance forecast ability for most cases.
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