| Summary: | 碩士 === 靜宜大學 === 會計學系 === 101 === The samples used in this research are the 10 Foreign Issuers Stocks released from Taiwan Stock Exchange Corporation on 2011/05/18. By mainly using ARCH Family Risk Assessment Model, we discussed the factors of the risk and the value at risk of each sample. With QMLE method and the Akanke's Information Criterion (AIC), we took the examination of Normality Test, ADF Unit Root Test and ARCH-LM Test to judge and choose a proper Risk Assessment Model. According to the VaR of each kind of financial product was calculated, the result proved that the return risk of most Stock futures will not be influenced by the volume of trade and open interest in terms of the aspect of sensitive test. At a 95% confidence level, the result of the ARCH-LM Effect Test shows that AIRTAC, WISDOM, IML, BHI, TPK, MStar, Coland, GLT, Chailease, KINGCAN reject the null hypothesis. At the comparison of the normality test, only 6 of them skewed to the right, 7 of them appear in leptokurtic distribution, and 9 of them are not the normal distribution. Therefore, this research takes BHHH estimation method to estimate the abnormal data with QMLE; considering the data to be the normal distribution according to the law of truly large numbers and the central limit theorem. The empirical result shows: (1) ARCH model, GARCH model, TGARCH model and EGARCH model were superior that ARCH model. (2)The current risks had influenced by prior errors, prior risks, the intensity of prior errors and good news or bad news. Except for the fourth hypothesis which is influenced by the variation range of substantial, others correspond to the model hypothesis. (3)About the maximum loss and the VaR, TPK, Chailease, KINGCAN will loss its total original investment amount, and others did not go beyond original investment amount. This situation is that the Foreign Issuers Stocks invested is still beneficial. (4)There are 9 study samples are pass backing test, not included EFTA when we estimate the optimal model. Those would represent the Risk Assessment Model has good test and non-biased on forecast.
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