The Analysis of the VaR form Taiwan''s Weighted Index andExchange Traded Fund based on Historical Simulation Method

• Main Authors: YAN-MING LI, 李炎明
• Other Authors: Jong-Rong Chen
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/27318980158953493109

碩士 === 國立中央大學 === 產業經濟研究所碩士在職專班 === 100 === The emphasis on this study is to discuss the VaR about making an investment; the investors should evaluate the VaR before they decide to make the investment, and to reduce the probability of investment loss. This study used the Pearson coefficient method to analyze the correlation between all the variables, and used the regression estimation method to obtain regression. Finally, use the Historical Simulation method to calculate the VaR, back testing and Kupiec methods to verify the VaR model. From the empirical study, we find that the Taiwan Weighted Index can forecast the profit and loss probability of the share price VaR at the Taiwan 50 Index ETF; and the evidence was found that when Taiwan''s weighted index is lower, the VaR is lower,but the profit probability is higher, and opposite, when Taiwan''s weighted index is higher, the VaR is higher, but the profit probability is lower.