Research of Liquidity-adjusted Value at Risk in Taiwan Stock Futures
碩士 === 靜宜大學 === 會計學系 === 103 === This paper combines Bangia et al.(1999) and Al Janabi(2008, 2010, 2012) empirical concepts of risk for traditional value at risk. The liquidity-adjusted value at risk includes exoside liquidity risk and ender liquidity risk. The liquidity-adjusted value is evaluated...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2015
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| Online Access: | http://ndltd.ncl.edu.tw/handle/18271742009610057193 |
| Summary: | 碩士 === 靜宜大學 === 會計學系 === 103 === This paper combines Bangia et al.(1999) and Al Janabi(2008, 2010, 2012) empirical concepts of risk for traditional value at risk. The liquidity-adjusted value at risk includes exoside liquidity risk and ender liquidity risk. The liquidity-adjusted value is evaluated in Taiwan stock futures. The research sample has 40 stock futures with a complete daily transaction records. The research time is between 1st January 2013 and 31th May 2014. This study uses GARCH model proposed by Bollerslve in 1986 to calculate the value of traditional risk and liquidity risk values. Results are as following: (a) The range of traditional VaR is 0.387 to 27.210. The back-testing results of real failure rate are 0.050 to 0.979. There are many futures significantly higher than theory failure rate. (b) At the scale factor “a” is 2, the range of liquidity adjust VaR is 1.389 to 38.710. The back-testing results of real failure rate are 0.045to 0.321. There are some futures significantly higher than theory failure rate. (c) At the scale factor “a” is 4.5, the range of liquidity adjust VaR is 1.252 to 312.72. The back-testing results of real failure rate are 0.041 to 0.061. There are not any futures significantly higher than theory failure rate.
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