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Title Оцінка ризику біржових індексних інструментів на основі VaR: досвід Тайваню
Other Titles Risk Assessment Tools For Stock Market Indexbased VaR: Taiwan Experience
Authors Лью, Хунг‐Чун
Ченг, Йу‐Жу
Тзоу, Йі‐Пін
ORCID
Keywords біржовий індексний фонд
stock index fund
міра ризикової вартості
measure risk cost
ринковий ризик
market risk
GARCH
GARCH
Тайвань
Taiwan
Type Article
Date of Issue 2009
URI http://essuir.sumdu.edu.ua/handle/123456789/56873
Publisher
License
Citation Лью, Х.-Ч. Оцінка ризику біржових індексних інструментів на основі VaR: досвід Тайваню / Х.-Ч. Лью, Й.-Ж. Ченг, Й.-П. Тзоу // Банки та банківські системи. – 2009. – Т. 2. - № 2. – С. 18-26.
Abstract This article explores the daily measure of the risk value (Value-at-Risk (VaR)) for the 0050 income-exchange Index Fund (Exchange Traded Funds (ETF)) Taiwan Stock Exchange from 2003 to 2007. Important source to improve the functioning between distributional assumptions and volatility specification determined by using symmetric (GARCH) and asymmetric (GJR-GARCH) models. Empirical results show that the distributive assumptions and specifications of asymmetric volatility reach their benefits at different levels of significance. In addition, different distributions of "heavy tails" are considered to different levels of significance. Finally, we reiterate the fact that the model is useful GJR-t/GARCH-HT for conservative / active risk managers in relation to market uncertainty in the unstable markets stock index instruments.
Appears in Collections: Наукові видання (ННІ БТ)

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