| Summary: | 碩士 === 朝陽科技大學 === 財務金融系碩士班 === 97 === The foreign exchange market is the most mobile and also the largest in the financial markets. At the current information boom, messages can be quickly passed on. Therefore, the foreign exchange rate changes rapidly day by day. The investors not only consider the return level of investments but also its risk management. Especially during the current financial crisis, created massive fluctuations in the global financial market. With the fluctuations, the current exchange rate would have a even more volatile fluctuation. Consequently, it is necessary to analyze the Value at Risk (VaR) of the foreign currency rate before and after the Sub-Prime crises.
This study focuses on the VaR of the foreign exchange market before and after the Sub-Prime crises, using different VaR models (such as historical simulation approach, Monte Carlo simulation approach, variance-covariance simulation approach, ARMA-GARCH simulation approach) to calculate USD against GBP, EUR, JPY and NTD on moving window of 30 days, 60 days, 125 days and 250 days with 99% or 95% confidence level of VaR.
The results are as follows:
1.With the currency set at ARMA-GARCH 95% confidence level, the penetration rate is closer than the set significant level and presented the same performance during each moving window.
2.In the LRcc test and Z test accuracy tests, in which each currency set at a 95% confidence level, the estimated variety value result shows a better outcome in both variance-covariance approach and ARMA-GARCH approach.
3.We can learn from the RMSE test, in all models, the RMSE value is best determined by the Monte Carlo approach, which estimation presents the smallest efficiency, on the other hand, the estimate for RMSE of 99% significant level is of smaller value, and also has more efficiency, amongst different currencies, NTD shows a better result of RMSE estimate.
4.As a result of the Sub-Prime crisis, the fluctuation in the financial market has become more volatile, all currencies have more VaR to consider than before the crisis, amongst them, GBP has the biggest VaR fluctuation rate and range.
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