Title page for etd-0623112-002029


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URN etd-0623112-002029
Author Han-Chih Yang
Author's Email Address No Public.
Statistics This thesis had been viewed 5587 times. Download 227 times.
Department Finance
Year 2011
Semester 2
Degree Ph.D.
Type of Document
Language English
Title Predicting Stock Market Crises by VAR Model
Date of Defense 2012-06-12
Page Count 30
Keyword
  • stock crises
  • GARCH
  • VaR
  • SGT
  • early warning system
  • predicting crises
  • Abstract 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.
    Advisory Committee
  • Kuo,Hsiou-jen - chair
  • Lee,Chien-Chiang - co-chair
  • Wang, Chou-Wen - advisor
  • Huang,Jen-Jsung - advisor
  • Files
  • etd-0623112-002029.pdf
  • Indicate in-campus at 5 year and off-campus access at 5 year.
    Date of Submission 2012-06-23

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