A study of value-at-risk on portfolio in stock return using DCC multivariate GARCH
學年 94
學期 2
出版（發表）日期 2006-05-01
作品名稱 A study of value-at-risk on portfolio in stock return using DCC multivariate GARCH
作品名稱（其他語言）
著者 Lee, Ming-chih; Chiou, Jer-shiou; Lin, Cho-min
單位 淡江大學財務金融學系
出版者 Taylor & Francis
著錄名稱、卷期、頁數 Applied Financial Economics Letters 2(3), pp.183-188
摘要 This study blends the simplicity and empirical success of univariate GARCH processes with an easy to estimate and interpret dynamic correlation estimator. A two step estimator and a simple test are employed to verify the null of constant correlation against an alternative of dynamic conditional correlation. The real strength of the DCC estimation process is its flexibility of univariate GARCH but not the complexity of conventional multivariate GARCH, therefore large correlation matrices can be estimated. One of the primary motivations for this study is that the correlations between assets are not constant through time. The focus of the study is hence to explore the empirical applicability of the multivariate DCC-GARCH model when estimating large conditional covariance matrices. Among the adopted models, DCC-GARCH(1,1)- t can be considered as the best model in measuring VaR, and DCC-GARCH(1,1) can be considered as the second best, while SMA is in the last. The results have suggested that a more complete model which carries more time series characteristics may outperform the others in the sample.
關鍵字
語言 en
ISSN 1744-6546
期刊性質 國內
收錄於
產學合作
通訊作者
審稿制度 否
國別 TWN
公開徵稿
出版型式 ,電子版
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