| Summary: | 碩士 === 靜宜大學 === 會計學系研究所 === 96 === From July 2002, Securities and Futures Bureau approved the domestic investment trust company to issue the Fund of Funds. In our investigation, there are 3 domestic Fund of Funds and 64 global Fund of Funds be selected. Ad hoc other studies major in general funds, we emphasize on Fund of Funds. The most important research accent is on VaR. As this empirical accent, the study adopts ARCH model、GARCH model、EGARCH model and TGARCH model to investigate VaR, and then sets confidence level on 95% in every day. This data source is from October 1 2005 to September 30 2007. By linear and nonlinear ADF test, normal J-B test and heterohomogeneous LM test, the return of napierian logarithm is positive, non-unit, and non-normal distribution. So, we use QMLE and variance-covariance matrix of Bollerslev & Wooldridge(1992) to emstimate. The empirical results are as followings: a. ING Global Balanced Portfolio can be computed accurately of VaR between ＄40 to ＄49 from different model; Failure rate is between 0.082 to 0.0984, and LR value is close to 95% confidence level. b. JF(Taiwan) Wealth Management Fund can be computed accurately of VaR between ＄48 to ＄55 from different model; Failure rate is between 0.082 to 0.0984, and LR value is close to 95% confidence level. When investor choose the Fund of Funds, we will advise investor to buy the ING Global Balanced Portfolio and the JF(Taiwan) Wealth Management Fund.
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