Performance of VaR under GARCH Model-Evidence from Taiwan Stock Exchange

Performance of VaR under GARCH Model-Evidence from Taiwan Stock Exchange

碩士 === 國立中正大學 === 國際經濟研究所 === 102

Bibliographic Details
Main Authors:	Chou, Yu-Lin, 周佑霖
Other Authors:	Hung, Bwo-Nung
Format:	Others
Language:	zh-TW
Published:	2014
Online Access:	http://ndltd.ncl.edu.tw/handle/534x42

Similar Items

Application of GARCH-type model at VaR
by: Yeh-Shi Chow, et al.
Published: (2002)

GARCH based VaR estimation: An empirical evidence from BRICS stock markets
by: Siva Kiran GUPTHA. K, et al.
Published: (2019-12-01)

Application of DCC Multivariate GARCH Model at VaR－Evidence from G7 and Taiwan''s Stock Markets
by: Hsiao-Chin Huang, et al.
Published: (2005)

Evaluating VaR with the ARCH/GARCH Family
by: Enocksson, David, et al.
Published: (2012)

VaR Estimation with Asymmetric GARCH Models
by: Hong, Chao-Heng, et al.
Published: (2003)

Applied GARCH-EVT-Copula Model to Estimate the VaR of Exchange Portfolio
by: Cheng-Hung Lai, et al.
Published: (2015)

Importance sampling for VaR and ES calculations under GARCH model
by: Chih-Jung Hsu, et al.
Published: (2013)

The Study of VaR Estimation among Taiwan Stock and Future Markets – The Application of ANN, SSM, and GARCH series
by: Shi-Zhang Xu, et al.
Published: (2006)

The VaR of Taiwan Stock Return under Bull and Bear Markets
by: Hong-Ru Lin, et al.

The Performance of VaR Measurements－The Empirical Studies of Currency Exchange Rates
by: Chong-Hsien Chou, et al.
Published: (2000)

Estimation of Portfolio VaR – Multivariate MAR-GARCH Model
by: WU,TING-YING, et al.
Published: (2008)

The Study of VaR Estimation among Taiwan Stock and Future Markets– The Application of ANN, 3SLS, and GARCH series
by: CHU,CHI-YUAN, et al.
Published: (2005)

The estimation of conditional GARCH-typed VaR on REITsreturns: A comparison of GH and innovation distributions
by: Feng-you Shen, et al.
Published: (2011)

An Application of VaR on Taiwan Stock Mutual Funds
by: Chi-hsun Wu, et al.
Published: (2007)

Apply VaR Model from Orthogonal Garch and Garch Bootstrap to the Research of Domestic Mutual Fund
by: Shu-Yi Chang, et al.
Published: (2004)

The Empirical Study on Stock and Foreign Exchange of VaR and Liquidity Risk
by: Tsai,Jia-Rong, et al.
Published: (2011)

Financial Econometrics: A Comparison of GARCH type Model Performances when Forecasting VaR
by: Andersson, Oscar, et al.
Published: (2015)

Research Of VaR On Stock Futures
by: Huang, Jiunren, et al.
Published: (2012)

Study on The VaR for BRICS Portfolios -Using GJR-GARCH-Copula Model
by: Ze-Fang CHEN, et al.
Published: (2018)

Apply GARCH-Copula Model in the Evaluation of VaR for ASEAN-5 Portfolios
by: Shun-Yu Yang, et al.
Published: (2014)

A Simplified ARMA-GARCH Method for VaR Estimation and Its Applications to Portfolio
by: LIN, SHIH-CHIEH, et al.
Published: (2016)

Comparison of VaR Models to the Brazilian Stock Market Under the Hypothesis of Serial Independence in Higher Orders: Are Garch Models Really Indispensable?
by: Luiz Augusto Finger França Maluf, et al.
Published: (2019-01-01)

The Verification and the Analysis of VaR Models on Taiwan Stock Market
by: Chih-Wen Yang, et al.
Published: (2009)

Employing Implied Volatility to estimate VaR in the Underlying Stock Indices
by: I-Hsuan Lin, et al.
Published: (2009)

The Study of Optimal Dynamic Portfolio Selection among Taiwan, Hong Kong and Singapore Stock Markets – The Application of Tri-GARCH and Constrain of VaR
by: Leong, Cheok-Fong, et al.
Published: (2005)

Performance Evaluation of Value-at-Risk (VaR) Models: Evidence from Asian Stock Markets
by: Yen-Ru Chang, et al.
Published: (2013)

Evaluation of Market Risks for Stocks, Exchange Rates and Interest Rates by the Method of VaR
by: I-I CHIN, et al.
Published: (2003)

VaR and the cross-section of expected stock returns: an emerging market evidence
by: Dar-Hsin Chen, et al.
Published: (2014-07-01)

VaR
by: LIU-CHIH YUNG, et al.
Published: (2006)

Is Estimation of Portfolio VaR Affected by Investors’ Shareholding Ratio? Evidence from Taiwan Stock Market
by: CHU,KAI-WEN, et al.
Published: (2016)

Risk Model Validation: An Intraday VaR and ES Approach Using the Multiplicative Component GARCH
by: Ravi Summinga-Sonagadu, et al.
Published: (2019-01-01)

The Investigation of VaR under Jump Model
by: Lin Po-Ching, et al.
Published: (2004)

VaR: Exchange Rate Risk and Jump Risk
by: Fen-Ying Chen
Published: (2010-01-01)

Investigation the Effect Factors of VaR on Foreign Issuers Stocks Listing in Taiwan
by: Chien, Tsailin, et al.
Published: (2013)

Applying Quantum Mechanics for Extreme Value Prediction of VaR and ES in the ASEAN Stock Exchange
by: Chukiat Chaiboonsri, et al.
Published: (2021-02-01)

Empirical Study on VaR Models with Various Optimal Decay Factors: Evidence from the Taiwan Stock Market
by: Tsung Cheng Hsieh, et al.
Published: (2012)

THE MODIFIED VaR MODEL ADJUSTED BY DIFFERENT VOLATITY FORECASTS--EVIDENCE ON TAIWAN STOCK AND FUTURES MARKET INDEX
by: Hao-han Chang, et al.
Published: (2013)

Penerapan Metode GARCH-Vine Copula untuk Estimasi Value at Risk (VaR) pada Portofolio
by: Herida Okta Pintari, et al.
Published: (2018-10-01)

The Empirical Research Which Estimate VaR on the Basis of GARCH Model ~A Example of TAIEX Futures
by: Chao-min Chuo, et al.
Published: (2008)

VaR Techniques
by: Solomonov, Isak
Published: (2021)

Cannot write session to /tmp/vufind_sessions/sess_dh6rogattn6dcb69obok11gurm