期刊論文

學年 102
學期 2
出版(發表)日期 2014-05-01
作品名稱 Why Does Skewness and the Fat-Tail Effect Influence Value-at-Risk Estimates? Evidence from Alternative Capital Markets
作品名稱(其他語言)
著者 Su, Jung-Bin; Lee, Ming-Chih; Chiu, Chien-Liang
單位 淡江大學財務金融學系
出版者 Netherlands: Elsevier
著錄名稱、卷期、頁數 International Review of Economics & Finance 31, pp.59–85
摘要 In this study, the generalized autoregressive conditional heteroskedasticity (GARCH) model involving skewed generalized error distribution (SGED) was used to estimate the corresponding volatility and value-at-risk (VaR) measures for various commodities distributed across four types of commodity markets. The empirical results indicated that the return (volatility) of most of the assets distributed in alternative markets significantly decreased (increased) as a result of the global financial crisis. Conversely, the oil crisis yielded inconsistent results. Regarding the influences of both crises on return and volatility, the global financial crisis was more influential than the oil crisis was. Moreover, regarding confidence levels, the skewness effect existed among VaR estimations for only the long position, whereas the fat-tail effect existed among the VaR estimations for only high confidence levels, irrespective of whether a long or short position was traded. Finally, regarding the popular confidence levels in risk management, the SGED (GED) was the optimal return distribution setting for a long (short) position.
關鍵字 Value-at-Risk; GARCH models; Skewness effect; Fat-tail effect; Global financial crisis
語言 en_US
ISSN 1059-0560
期刊性質 國外
收錄於 SSCI
產學合作
通訊作者
審稿制度
國別 NLD
公開徵稿
出版型式 紙本
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