篇名 | 貨櫃輪運價指數之風險值分析:考慮運價指數波動率的長期記憶性 |
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卷期 | 16 |
並列篇名 | Value-at-Risk Analysis of Container Freight Indices with the Long Memory Volatility Process |
作者 | 張超琦 |
頁次 | 067-085 |
關鍵字 | 貨櫃輪運價指數 、 風險值 、 長期記憶 、 分數整合波動模型 、 Container Freight Indices 、 Value-at-Risk 、 Long Memory 、 Fractional Integrated Volatility Models |
出刊日期 | 201707 |
本文旨在考量貨櫃輪運價指數波動具長期記憶特性下,運用風險值(VaR)模型去評估貨櫃輪運價 指數的波動風險。在多跟空部位下,本研究分別計算其風險值及預期損失。並以選定具有長期記憶 特性的HYGARCH 及FIAPARCH 模型,去比較在三種不同的分配(常態分配、Student-t 分配與偏態 Student-t 分配)特性下的表現結果。本研究建議在Student-t 分配與偏態Student-t 分配下,藉 由具備長期記憶特性的GARCH 模型去估計風險值(VaR),可以得到較為準確的分析結果。亦即當進 行運價指數報酬率的風險估計,所採用的估計模型若能同時考量波動叢聚、厚尾、不對稱及長期記 憶等特性,將是較為適當的做法,而該模型亦有助於長期的波動預測。
This study aims to apply Value-at-Risk (VaR) models to evaluate the risk of container freight indices when there is a long memory effect. In this study, we calculate the VaR estimations and expected shortfalls for both short and long trading positions. Moreover, we use the Hyperbolic GARCH and the Fractional Integrated Asymmetric Power-ARCH models to analyse the performance of the VaR models with the normal, Student-t and skewed Student-t distributions. Our results suggest that precise VaR estimates may be acquired from a long memory volatility structure with the Student-t and skewed Student-t distributions. Moreover, for the appropriate risk valuation of container freight indices, the degree of persistence should be examined and modelling that includes volatility clustering, fat-tails and long range dependence should be considered. Therefore, our findings provide a more accurate estimation of VaR for container freight indices.