与偏态问题–国内主要股市指数实证结果.PDFVIP

Journal of Financial Studies Vol.7 No.3 December 1999 (61-94) 61 藉由馬可夫轉換模型解決風險值計測過程高峰、厚尾 與偏態問題– 國內主要股市指數實證結果 Mitigating Tail-fatness, Lepto Kurtic and Skewness Problems in VaR Estimation via Markov Switching Settings – An Empirical Study on Major TAIEX Index Returns 林修葳 Hsiou-Wei Lin 1 National Taiwan University 國立台灣大學 饒秀華 Hsiu -Hua Rau 黎明淵 Ming-Yuan Li National Cheng-Chi University 國立政治大學 摘 要 本論文以馬可夫模型估算風險值，分析討論與實證應用或屬原創。風險值估算是財金學 術與實務領域很重視課題，我們應用雙重狀態期望值與波動設定，採馬可夫過程控制狀態間 切換，也藉國內主要股價指數報酬樣本，以貝氏混合分配與GARCH測試結果與馬可夫互對 照。在各類模型降低報酬衝擊分配非常態問題效果比較，馬可夫表現最佳，貝氏混合分配與 GARCH則分呈過度與不足。就實務應用角度言，馬可夫優勢對5%臨界機率風險值不顯著， 在1% 與2.5%臨界機率情境則頗明顯。在學習窗期的選擇，為掌握殺傷力大但不常發生的特 殊事件，描述報酬損失較利得需更長的歷史資料。 Abstract This paper serves as one of the first studies that estimate the value at risk (VaR) via a Markov-switching (MS) model. Specifically, we use a two-regime MS specification, a MS set- ting with two sets of regime mean and regime variance, on TAIEX as well as Taiwan’s major industrial group stock index returns. We demonstrate that MS effectively correct non-normality problems and outshine both GARCH and the mixing normal models, with the former (latter) alternative being subject to over- (under-estimating) the persistence of stock return volatility (hereafter volatility). As for estimating the 5% VaR, MS appears to be equally effective as Bayesian mixing normal and GARCH. In contrast, MS significantly outperforms the two non-linear alternatives for estimating VaR with 1% or 2.5% tail probabilitie