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博碩士論文 etd-0623112-002029 詳細資訊
Title page for etd-0623112-002029
Predicting Stock Market Crises by VAR Model
Year, semester
Number of pages
Advisory Committee
Date of Exam
Date of Submission
stock crises, GARCH, VaR, SGT, early warning system, predicting crises
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There are several methods to predict financial crises. There are also several types of indicators used by financial institutions. These indicators, which are estimated in different ways, often show various developments, although it is not possible to directly assess which is the most suitable. Here, we still try to find what characteristics that industry group has and forecast financial crises
In this paper, our data started from monthly of 1977 January to 2008 December in S&P100. We consider Fama-French and Cluster Analysis to process data to make data with same characteristic within a group. Then, we use GARCH type models and apply it to VaR predicting stock turmoil.
In conclusion, we found that the group which has high kurtosis value is the key factor for predicting stock crises instead of volatility. Moreover, the characteristics of this industry which can predict stock crises is a great scale. On the other hand, we can through this model to double check the reaction for anticipating. Therefore, people can do some actions to control risk to reduce the loss.
目次 Table of Contents
論文審定書 i
摘要 ii
Abstract iii
Tables v
Figures vi
1. Introduction 1
2. Method 6
2.1 GARCH (1, 1) model with skewed generalized t distribution (GARCH-SGT) 6
2.2 skewed general t density 6
2.3 Measurement and evaluation for distribution-based VaR models 8
2.3.1 Definition and estimation 8
2.3.2 Conditional-SGT-VaR approach 8
2.4 Evaluating VaR performance 8
2.4.1 Unconditional coverage test (LRuc) 9
2.4.2 Conditional coverage test (LRcc) 9
3. Data 11
4. Empirical result 12
4.1 Result of stock market 12
4.2 Evaluting the performance of VaR 17
4.3 Analysis of clustering 17
5. Conclusion 19
Reference 21
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