An VaR Investigation on Overseas ETFs

• Main Authors: HUANG, NIEN-YIN, 黃年吟
• Other Authors: TSAI, CHUI-CHUN
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/80786596621793501003

碩士 === 靜宜大學 === 管理碩士在職專班 === 104 === Recent years, various types of investment instruments and financial products are introduced gradually. In addition to stocks, bonds , money market and other traditional investment goods, all kinds of derivative financial products have emerged, the global capital market is becoming more international, our investors can be purchased in many foreign banks passage of financial products, people have begun to accept the concept of global asset allocation distribution, therefore foreign (Exchange Traded funds) investor is in the pursuit of investment returns while limiting risk for assets in the concept of the acceptable range is more intense, that for many investors new options. In this study, there is less for the risk assessment of overseas ETF as the research discussed in the present study was to investigate obtaining return on investment also added a risk assessment as an investment decision. Therefore, this study overseas fifth funds (WISE CSI 300 ETF, Brazil ETF, IndiaETF, IndonesiaETF, SHA50 ETF ) as sample in this study. By using GARCH model and EGARCH model assessment to calculate the risk value , re-use GARCH model and EGARCH model after checking back testing to compare the best prediction of the model sample inside and samples outside the risk assessment model. The results of using GARCH model and EGARCH model measure for the five overseas ETF , the EGARCH model risk value was higher than GARCH model, representing EGARCH model has better prediction of the risk assessment model than GARCH model, whatever use of EGARCH model or GARCH model, the failure rate is zero, also show all overseas ETF pass back-testing. And then, comparing the five ETF risk value, the highest Brazil ETF; followed by WISE CSI 300 ETF and SHA50 ETF, comparing with India ETF and Indonesia ETF. It has lower risk value among the index value at risk in India ETF is relatively low.