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作者(中文):余俊揚
論文名稱(中文):美國不動產投資信託基金之投資組合風險分析 – 以copula-GARCH模型探討
指導教授(中文):索樂晴
口試委員(中文):張焯然
蔡璧徽
學位類別:碩士
校院名稱:國立清華大學
系所名稱:計量財務金融學系
學號:101071511
出版年(民國):103
畢業學年度:102
語文別:中文
論文頁數:39
中文關鍵詞:不動產投資信託風險值關聯結構投資組合
外文關鍵詞:REITscopulaGARCHVaRportfolio
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本篇論文主要是依據Patton(2006)與Huang et al.(2009)的研究,將copula-GARCH方法應用至美國的不動產投資信託市場中,以探討模型是否能有效改善對於REITs資產組合風險值的預測能力及績效。我們使用美國國家不動產投資信託協會之REITs指數(FTSE NAREIT US Real Estate Index - All REITs)與S&P 500股價指數組成投資組合,並使用GARCH模型來描述指數報酬率序列相關的特性,最後以5個常數copula與2類動態copula共7種copula函數分別搭配個別資產報酬率服從常態分配與Student-t分配之GARCH(1,1)模型共組合出14種copula-GARCH模型來估計兩資產報酬率的聯合分配,進而推導出投資組合的一日風險值,樣本期間涵蓋金融風暴發生前後共2800個觀察值,並與一般風險值估計方法進行回溯測試結果的比較。Copula-GARCH模型同時考慮了個別指數報酬率序列相關的性質與不同金融資產間非線性相關的部分,並且修正了傳統風險值模型之常態性假設所無法捕捉到的資產分配現象,本研究的實證結果顯示,邊際分配服從GARCH-t之time-varying SJC copula不論在市場狀況好壞時相對於傳統風險值模型確實能夠更加精確的掌握REITs資產組合的風險。
摘要 i
目錄 ii
表目錄 iii
圖目錄 iv
第一章、緒論 1
第二章、風險值 5
第一節、風險值的意義與概念 5
第二節、常見的風險值模型及其估算方法 6
第三節、四種傳統模型之比較 8
第三章、Copula-GARCH模型 10
第一節、Copula理論介紹 10
第二節、邊際機率分配模型 – GARCH model 16
第三節、模型參數估計 17
第四節、Copula-GARCH模型下之風險值估算 19
第四章、實證結果分析 22
第一節、資料分析 22
第二節、Copula-GARCH模型選取 23
第三節、不同風險值模型之回測結果比較 28
第五章、結論 34
參考文獻 36
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