The Application of VaR for Petroleum ETFs

• Main Authors: CHEN,WEN-CHEN, 陳玟蓁
• Other Authors: 朱岳中
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/25560033547860346688

碩士 === 南台科技大學 === 財務金融系 === 98 === With the ferment of liberalization and globalization in financial markets, various kinds of investment tools have constantly been renovated. Therefore, it is a vital topic for investors to adopt suitable risk measure methods with the goal to evaluate risk and further control risk. In this study, GARCH (1,1) model, historical simulation and the Monte Carlo simulation discretely were integrated into The Bootstrap by Kosowski et al. (2006) and a risk model of the three estimated values, and combined with moving window to scrutinize the risk profile of crude oil ETFs value. Then, this researcher classified the sample into industrial and futures-based types, and testified if there is any significant difference among different types of crude oil ETFs. The results show that the standard method by Monte Carlo simulation appears to be the optimal model, whereas combining with bootstrap method may enhance the GARCH (1,1) model, Monte Carlo simulation and estimated effects of historical simulation. Significant level α to oil industry for measuring the risk of ETFs has an impact on the accuracy of the model. In addition, this study found that α = 5% may be superior to that of α = 1% in the industrial type of crude oil ETFs. As for type of crude oil in the futures ETFs, α = 1% and α = 5% achieved no significant difference.