2(X)7୍ֻ7௹,72007(ሹֻ325௹)ཬϲၫGeneඳ.No325ࠎႿࢌၞժ֥ၿྛ൧ӆڄགҩ؇ٚمiၛၿྛࡗြҷࢹ൧ӆູ২ྸႶԮޅࡄဗܻ(ഈݚࢌ๙ն࿐νࣜ࠶აܵ࿐ჽ,ഈݚ2(XX)30;ཐۖᇏ໓ն࿐۽അܵ࿐ჽ,ཐۖ೬โ)ᅋေ:ࠎႿؓӫٳ҃ࡌഡ֥൧ӆڄགҩ؇ٚمສສ҂ؓࢌၞժ֥ྟᇉࣉྛٳ,ޭ൪ਔ҂ྟᇉࢌၞժ൧ӆڄག֥ཁᇷҵၳބؓ൧ӆၹሰ҂ؓӫແ҆หᆘ֥ህކbЧ໓ၛၿྛࡗြҷࢹ൧ӆູ২,۳ԛਔ҂ྟᇉࢌၞժ֥൧ӆڄགҩ؇ٚم,ႨࠎႿܼၬ༂ҵٳ҃ࡌഡ֥ARMA၂GARCHଆٳљކਔြҷࢹ൧ӆ০ੱ҂ؓӫ֥ແ҆หᆘ,ҩ؇ਔݓ۲োഅြၿྛھཛြༀ֥൧ӆڄགބڄགࢲܒ,ູഅြၿྛ൧ӆڄགҩ؇აܵิ܂ਔ၂Ϯྟ֥ଆܒᄯބࡎٚمbܱࡲՍ:൧ӆڄག;ѓሙم;ြҷࢹ൧ӆ;ࣜ࠶ሧЧaJELٳো:G32Csl໓ᣃѓ്:A໓ᅣщݼ:1(X)2၂7246(2(X)7၂)07၂֥361၂ႄaۅࠝ.ѾJ198୍Ϙೖغჴ߶u၂ሧЧ࠹ਈაሧЧѓሙ֥ݓ࠽ླྀၰvࣇؓྐႨڄགิԛਔሧЧေb196୍(ሧЧླྀၰ>ܱႿ൧ӆڄག֥ྩᆞσvࡼሧЧေঔᅚ֞ࢌၞᅬᇏა০ੱႵܱ֥۲োࣁವ۽ऎࠣܢௐ෮ട֥ࠣڄག,ၛࠣᆜ۱ၿྛ֥ຓ߸ڄགބഅڄགb2mXᆔ୍u၂ሧЧ࠹ਈაሧЧѓሙ֥ݓ࠽ླྀၰ၂.ྩרॿࡏvࡼڄག֥קၬঔᅚ֞ྐႨڄགa൧ӆڄགބҠቔڄག֥۲ᇕၹb2(X)5୍1ᄅᄜՑૼಒބ༥߄ਔؓ൧ӆڄག֥ሧЧࡓܵေbඨႋϘೖغࡓܵൌ֥ݓ࠽߄ބݓၿྛြڿ۪֥གྷൌေ,ᇏݓၿྛြࡓაܵჴ߶Ⴟ20(၂2֥5୍༵ުԛਔuഅြၿྛ൧ӆڄགܵᆷႄvau൧ӆڄགࡓܵགྷӆҰ൭Ҩv֩ᆷ֝ྟ໓ࡱ,ູഅြၿྛ൧ӆڄག֥ҩ؇ބࡓܵิ܂ਔ၂สປᆜ֥ᆟҦ൬۠ರ௹:2(X)7၂03၂25ቔᆀࡥࢺ:ྸႶԮ(1977၂,)ଳ,νߪದ,ഈݚࢌ๙ն࿐νࣜ࠶აܵ࿐ჽѰൖള;ޅࡄ(1954၂,)ଳ,ഈݚದ,ཐۖᇏ໓ն࿐۽അܵ࿐ჽ࢝൱aѰൖള֝ഽ;ဗܻ(1980၂,)ଳ,תದ,ഈݚࢌ๙ն࿐νࣜ࠶აܵ࿐ჽѰൖളb*ቔᆀۋ྆େബ۠ದ֥Џၩ,֒ಖ໓ᄳሱڵb36
2ࡆ7୍ֻ7௹ࠎႿࢌၞժ֥ၿྛ൧ӆڄགҩ؇ٚم37ྟॿࡏbෛሢݓ০ੱ൧ӆ߄֥ࣉ,ሧЧཛଢ֥ᇯ҄ष٢,ದл߸ੱྙӮࠏᇅ֥ఓބൌീ,ݓၿྛြ൧ӆڄགૼཁᄹնbࡆ఼൧ӆڄགܵᄝݓၘэ֤ٳᇗေ,ࡆ఼൧ӆڄགࡓ္ܵෛᆭэ֤۷ࡆᇗေ(ਾૼू,2ҧຉb)࣮അြၿྛ൧ӆڄགҩ؇ބܵၐऎႵᇗေ֥གྷൌၩၬbၛສ֥൧ӆڄགҩ؇ٚم(ೂѓሙم֩)҂ؓ҂ྟᇉ֥ࢌၞժ(ॢa؟)ࣉྛٳ,ᆃᇕҩ؇ٚمᇗޭ൪ਔ؟aॢ൧ӆڄག֥ҵၳྟބؓ൧ӆၹሰ҂ؓӫແ҆หᆘ֥ህކbᆃ္ࠗؿਔЧ໓ؓᆃ၂໙ี֥࣮ྖ౿bၛ༯֥ྛ໓ࢲܒνஆೂ༯:൮༵൞໓ངሸඍbֻ҆ٳ൞࣮ٚمഡ࠹,۳ԛਔࠎႿᆞٳ҃ބܼၬ༂ҵٳ҃(GeneralizedErrmDistribution;GED)ࡌഡ༯֥؟aॢ֥VaRҩ؇ٚمbֻඹ҆ٳ൞ൌᆣ࣮,ҩ؇ਔ۲োഅြၿྛြҷࢹ؟aॢ֥VaRބሹุ൧ӆڄགbቋު൞ࢲંބᆟҦࡹၰbؽa໓ངሸඍࠎႿҕඔଆ֥ڄགइᆔඌ໓Чקਔ൧ӆڄགҩ؇֥ંࠎԤ,ࡼࣁವሧӁ֥ڄགაః႘ഝ֥൧ӆၹሰࠇڄགၹሰ(riskfactors)ࣅૡ৳༢ఏটb(Խڂ,201)Ⴟ൞,ؓ൧ӆڄགҩ؇္֥࣮ࣼሇ၍֞ؓڄགၹሰ֥࠹іඍഈট,ቋ௴ђ֥ࣼ൞ࠎႿᆞࡌഡ֥ᄝགࡎᆴمࠇ,VaRم(J,orion1997)ᆃ္Ӯູਔၿྛြ൧ӆڄགҩ؇֥ѓሙٚم(BCB,S2(Xb)ᆃᇕࠎႿ൧ӆၹሰڛՖ৫ٳ҃ބᆞٳ҃ࡌഡ֥ҩ؇ٚمҠቔࡥь,ၞႿܼބѓሙ߄,ಏᄥ֞ਔြࢸބંࢸնਈ֥a၂ᇁ֥(ູneret..,a,l197;Embrechtsetabl198)ၹູᆞࡌഡ҂ିކሧӁ߭Бն֥ѯބިແྟ,(Hulandᨢite,1998)ؓѯࠢಕ(volatilityelustering)֥ԩ္ିູ৯(BerkowitsᇹndoBrien,2ࡆ,2)Ⴕॖି֝ᇁؓ൧ӆڄག֥֮ܙ(Tsay,b205;ScheroeѾ,202)Ⴟ൞,ದૌิԛਔ۲ᇕูսྟϷم,ၛь۷ݺ֥ԩࠞ؊൙ࡱؓ൧ӆၹሰٳ֥҃႕ཙ(SuarezbandCโ1ؓ0,203)ؓѓሙم֥၂۱ঔᅚ൞٤ҕඔଆbᆃᇕٚم҂ؓሧӁ߭Б֥ٳ҃ቔޅ༵ဒྟ֥ࡌഡ,Ⴈࣜဒ֥ੱٳ҃ݦඔࠇଆ֥ᄝ҂౦ࣟ༯֥ၿྛሧӁ֥ყ௹ാٳ҃টҩ؇൧ӆڄགb٤ҕඔٚمбࢠൡႨႿԩگᄖ֥aఅၳ֥စളӁ,(HuckinsandRai199)ބջႵ۱љࠞ؊ၳӈ֥ׄ౦ঃ(MiuraandO,ue2(Xb)1)ؓѓሙم֥ਸ਼၂۱ঔᅚ൞٢ᆞྟࡌഡ,࿊ᄴච౷ཌٳ҃(EberleinandKeUe,r,195)ࠁކᆞٳ҃(Hu,llandWhite,1998)໗קٳ҃(MeCu,llo,h1996)ܼၬ༂ҵٳ҃(JPMO૿ᓾ,1n95;HansoandHordኗ,,205;MandKanto2ၛຉ;ӧ൯תބൗׅ,2(X)2;ਾ౩ڶ֩,2(X)7)֩ট൫۷ݺ֥ކڄགၹሰ֥ࠞ؊൧ӆྛູބިແྟbࠞᆴંဢิ܂ਔ၂۱ࠎႿ٤ᆞࡌഡ֥൧ӆڄགҩ؇ٚم֥ॿࡏ,๙ݖऊࢊႿࠞ؊൙ࡱЧദ֥ٳ҃টҩקଆҕඔ.,(E.,l1998;Danielsonetalb1998)ႋھᇿၩ֥֞൞,ၛഈิ֥ࠣҕඔଆ൞ࠎႿሧӁ߭Б่֥ࡱٳ҃ࣉྛࡹଆ֥,ᆺൡႨႿӉ௹֥ڄགܵᅞࠇؓӉ௹ڄགാ֥หљܱᇿ,ѩ҂ିّ႘ൈࡗਙ֥ሱཌྷܱྟބ
38ཬϲၫሹֻ325௹ѯࢲܒ֥ൈࡗཌྷ၇ྟ(Jor,ion197);ཌྷّ,ؓሧӁ߭Б่֥ࡱٳ҃ࣉྛࡹଆಏିႵི֥ѽሚ൧ӆၹሰ֥ѯࢲܒބѯ൝(su:areழdCโെl~0,b203)ࠎႿ่ࡱٳ֥҃൧ӆڄགҩ؇ٚمສສؓሧӁ߭Бਙࣉྛሱ݂߭၍नࡌഡ,ൈႨARcH(Ene,gla1982)GARcH(Bouerslev,1986)֩ଆটख़߂ൈࡗਙ֥ၳٚҵࢲܒބѯࢲܒ,ߎॖၛ๙ݖ่ؓࡱෛࠏཛࣉྛ۲ᇕหק֥ٳ҃ࡌഡটԩިແྟ໙ีbᄝؓӫٳ֥҃ࡌഡ༯,൧ӆၹሰ֥ቐaႷແ൞ؓӫ֥,෮ၛ,ཌྷඔਈ֥؟ժބॢժ֥vaR൞ཌྷ֥֩,b(Bali2(X)3;TSay,2ࡆ5)ಖط,ᄝຓ҆ᆞཟaڵཟྐ༏֥҂ؓӫԊࠌ༯,൧ӆၹሰ֥ଖུࠞ؊֥a҂ؓӫ֥ແ҆ᄎ֝ᇁ҂ྟᇉࢌၞժ൧ӆڄག֥ࢠնҵၳb(MiରkandRachev,1993)طၘႵ֥໓ང๙ӈޭ൪ਔؓ൧ӆၹሰ҂ؓӫແ҆หᆘ֥ህކބ҂ྟᇉࢌၞժᆭࡗ֥ҵၳྟba࣮ٚم(၂)ࠎႿᆞࡌഡ֥؟aॢᄝགࡎᆴᄝൈख़,:ૌۋྖ౿֥൞༯၂ൈ؍ᇏଖࣁವժ֥ڄགሑঃb;іൕࣁವժ෮႘ഝ֥൧ӆၹሰ֥э߄bࡌഡrڛՖೂ༯֥GARcH,(1l)ݖӱ:rmؽ+am;(l)a:ؽb:e:,s:IFm_,,၂N(o1);(2)aؽbb+b:a_,+::ലሰ_:(3)ପહ_,ᄝ۳קF__,:;ؽ;::{rt2,t_,:,l}ྐ༏ࠢ༯,่֥ࠫࡱٳູ҃N(,b,:)ᄵ1ӻႵ௹vaR֥aٳ໊ඔູ௲၂,za:,ఃᇏ,ُ൞ѓሙᆞٳ֥҃༯ҧaٳ໊ׄ;ཌྷႋ֥vaRᆴູ:(၂ُm,)xࢌၞժbႋھᇿၩ֥൞,ھٳ໊ඔᆺ൞ᆌؓ؟ժ֥b؟ժܱᇿ֥൞rm่ࡱٳ֥҃ቐແ,ख़߂ਔ֒r:ཟ༯ᄎൈ,۳؟ժջট֥మᄝቋնാ,(Tsav2ࡆb5)¹֒r:ཟഈᄎൈ,ؓ؟ժটඪѩ҂০႕ཙ,ᆺ֤ॢժ֥ӻႵᆀᄥ൳ാ,ᆃൈ,ླေܱᇿrm่ࡱٳ֥҃Ⴗແหᆘb෮ၛ,1ӻႵ௹ॢժvaR֥aٳ໊ඔࣼэӮਔ+၂:;b.,;ཌྷႋ֥VaRᆴູ:(IL+z၂:bm,x)ॢժb่֒ࠫࡱٳູ҃ؓӫ֥ᆞٳ҃ൈ,০Ⴈ؟ժটษંvaR֥࠹ෘࣼቀܔਔb(Tsa,y2(X)5)ಖط,൧ӆၹሰ҂ؓӫ֥ແ҆ᄎ,थקਔૌᄝҩק؟ժބॢժ֥VaRൈ,Ⴕсေࡼ൧ӆၹሰࣉྛཟ༯҂০ᄎބཟഈ҂০ᄎ֥ٳࢳbº:rb,іൕ൧ӆၹሰ֥ཟ༯ᄎ,ᄵႵ:¹൧ӆڄག൞ᆷᄝ၂ק֥ӻႵ௹ބ۳ק֥۽ྐඣ༯,ႮႿ০ੱa߸ੱaܢௐࡎ۬aഅࡎ۬֩൧ӆၹሰ֥҂০эؓၿྛ൬ದࠇࣜ࠶ࡎᆴᄯӮ֥మᄝ֥ቋնാbႮႿ൧ӆڄགҧ؇֥൞మᄝ֥aቋն֥ാ,෮ၛ,ؓ؟ժط,ᆺླҧק൧ӆၹሰཟ༯֥҂০эջট֥మᄝാ,ط൧ӆၹሰཟഈ֥э෮ջট֥మᄝ൬ၭᄵླॉ੮b,ؓॢժط,္ᆺனҧק൧ӆၹሰཟഈ֥҂০эջট֥҂০ྙཙbºᄝሧЧ۽֥ൌ࠽ႋႨᇏ,మᄝၭٳ֥҃Ⴗшࢸ൞ٳᇗေ֥,ఃᇗေྟᇀࣂಯໃФં໓ང෮ಪ്(Kup,iec2(X)2b)
2(X)7୍ֻ7௹മႿࢌၞժ֥ၿྛ൧ӆڄགҩ؇ٚمr,:ᗲr:<o;.romؽI(4),m10ঔrᆭ0,ॖ֤൧ӆၹሰཟഈᄎగ:֥іղൔ::,ᗲr:>0;rU.ሦ၂(5).,,0ᗲr:m0ᆃဢ,ࣼॖၛ۴ऌ൧ӆၹሰཟ༯ᄎބཟഈᄎ֥ແ҆หᆘটٳљҩק؟ժބॢժ֥vbaR(ؽ)ࠎႿGEDࡌഡ֥؟aॢᄝགࡎᆴູԉٳّႋ൧ӆၹሰ่ࡱٳ֥҃oࡕڂިແpྟ,๙ӈေࡌഡ่ࡱෛࠏཛڛՖච౷ཌٳ҃aࠁކᆞٳ҃a໗ٳ҃aܼၬ༂ҵٳ҃֩bႮႿܼၬ༂ҵٳ҃Їݣਔܼ֥ٗٳ҃՛,ିਲࠃ֥aԉٳ֥ख़߂҂ٳ֥҃ແ҆หᆘ;ູਔაࠎႿᆞࡌഡ֥൧ӆڄགҩ؇ٚم(Ҡቔᇏ௴ђႨ֥ٚم)ཌྷбࢠ,ૌ࿊ᄴܼၬ༂ҵٳ҃টٳљख़߂൧ӆၹሰ҂ܿᄵ֥ແ҆หᆘbࡌഡ൧ӆၹሰڛՖೂ༯֥ൈࡗਙଆ:r:ؽࠏ+ၜؽ,fлmrѾm+a:၂ၜઅؽ1aoiѾ,;(6)a:ؽ१:e,,e:IFѾ1၂C©֗(b);(7),Ѿbb+ၜᗲؽ,bma၂m+:ၜ༓ؽ;࣐b၂,:(8).:1avexP!၂;.༯נI༯ӌ111*ؽᆃJ(smIF၂:=\LmದJI)^2(m+n/v)Fᔓ(1/b)Ḏഐmoc;r()ູG၂ݦඔ;,pqٳљູࠫݖӱ֥ሱཌྷܱބ၍नཛ֥ᇌުࢨඔbᄝܼၬ༂ҵٳ҃ᇏ,ҕඔb॥ᇅሢٳ҃ྙൔb֒t,<2ൈ,ແ҆бᆞ۷ި;֒bؽ2ൈ,GED߄ູᆞٳ҃;֒b>2ൈ,ແ҆бᆞ۷Њb۴ऌቋնරಖܙ࠹م,ॖ֤ܼၬ༂ҵٳ҃ҕඔb֥ቋႪܙ࠹(Green,,1997)ೂݔଆࠇҕඔ҂ཁᇷ,ॖၛᄝҕඔb֥ቋႪܙ࠹ᆴ֥ਣ࣍თଽؓఃࣉྛҕඔڮᆴ,؟Ցᇗྍܙ࠹,ᆰ֞ଆބҕඔनཁᇷູᆸbᆃဢॖି߶ാ၂҆ٳؓඔරಖᆴ,ಏࠆ֤ਔؓ൧ӆၹሰ่ࡱٳ҃ແ҆หᆘ֥۷ཁᇷ֥ކbၹູՖಆअটु,൧ӆၹሰ๙ӈ҂ିႨ၂ᇕٳ҃টࣚಒख़߂,¹෮ၛ,ೂݔ࣮ଢ֥൞ູਔ۷ݺ֥ख़߂൧ӆၹሰᄎ֥ᇏࡗ҆ٳ,ࣼॖၛࢆ֮ؓແ҆ࠞ؊൙ࡱ֥ᇗ൪ӱ؇,Ⴈቋնරಖሙᄵቔູଆ֥࿊ᄴѓሙ൞ކൡ֥;ေ۷ݺ֥ख़߂൧ӆၹሰᄎ֥ແ҆หᆘ,ᄵቋնරಖሙᄵ߶ݖ؇఼ֹט൧ӆၹ¹၂Ϯ౦ঃ༯,ᇏྏࠞཋקࣇିЌᆣ൧ӆၹሰٳ֥҃ᇏࡗ҆ٳ(ೂनᆴ֥۱ѓሙҵၛଽ)൞ࡶࣉᆞ֥,ᄝຓ҆ࠞ؊൙ࡱ֥Ԋࠌ༯,൧ӆၹሰ֥ແ҆๙ӈ҂ିႨᆞٳ҃টކ,ၹູᇏྏࠞཋקᄝᆃ۱Ӭ҂Ӯ৫(Mo6cadي,2(Xb)ೂᄝၿྛҠቔڄག֥ҧ؇ᇏ,ാ֥ᇏࡗ҆ٳ൞Ⴎնtۚa֮ാ֥൙ࡱܒӮ,طແ҆ᄵ൞Ⴎഒt֮aࠞ؊ാ֥൙ࡱܒӮbᇏྏࠞཋקᄝാٳ֥҃ᇏࡗ҆ٳ൞ࡶࣉӮ৫֥(ࠧॖၛؓാٳ֥҃ᇏࡗ҆ٳࣉྛᆞྟࡌק,)ؓാٳ֥҃ແ҆ѩ҂Ӯ৫,ՎൈླေႨࠞᆴંaPOT၂P֩ଆটख़߂ఃແ҆หᆘbႿ҂ିႨ၂ᇕٳ҃টປᆜ֥ख़߂Ҡቔڄག൙ࡱ,ᄝൌᆣࡹଆൈ,ૌླေؓാٳ֥҃ᇏࡗ҆ٳބແ҆หᆘٳљႵ෮ொၗ,ᆃࣼടࠣ֞ଆܙ࠹ൈ֥රಖྟބཁᇷྟ֥࿊ᄴ໙ีb
40ࣂϲႸሹֻ325௹ሰᇏࡗ҆ٳ֥႕ཙ,طޭ൪ਔؓແ҆หᆘ֥ѽሚ,ᆃൈଆބҕඔ֥ཁᇷྟေбරಖྟ۷ູᇗေbᆃᇕଆ֥ܒᄯބܙ࠹ٚمᄝҠቔڄགҩ؇ᇏ۷ູૼཁ,(Moscadeli2(Xb)֒ҕඔၘᆩൈ,ॖ֤r.่֥ࡱनᆴބ่ࡱٚҵ֥1҄ཟభყҩb¹ऎุ֥,ૌႵ:r:ؽлb+ၜؽ.fᇏmr:+1၂m+am၂ၜઅؽ;ejam၂,;(9)Ցؽؽb+ၜؽl:ؽma၂m+:ၜנؽ:උb၂,:(,0),ॖ֤1ӻႵ௹؟ժބॢժvaR࠹ෘᇏ֥aٳ໊ඔٳљູగm(1-)ੁv-nb()ሰb.:(l)ބٯb.:(l+)ੁmn(l၂b)ሰ,u:(၂;)ᄝགࡎᆴឃb(l)ބbvas(l)ٳљູ:bva(1ؽ)؟ժx(ࠫ,m(l၂)ၝm,a()ሰb,:;(1))(11)ឃb(lؽ)ॢժx(ؽb,:(l+)ੁm,(l၂a)ሰ,u:(l))(12)ᆃ,గ:(l)ބగ:(l)ٳљіൕؓ൧ӆၹሰཟ༯ᄎބཟഈᄎࣉྛೂഈ֥ଆކު֤֥֞1҄ཟభ่ࡱ௹ຬ֥ყҩᆴ;ሰD,,(l)ބሰu:.(l)ٳљіൕؓ൧ӆၹሰཟ༯ᄎބཟഈᄎࣉྛೂഈ֥ଆކު֤֥֞1҄ཟభ่ࡱѓሙҵ֥ყҩᆴbmಧ֗Jn(a)іൕᄝaٳ໊ඔ༯,ҕඔູb֥ܼၬ༂ҵٳ֥҃bºඹaൌᆣٳ༅(၂)ඔऌটჷބ૭ඍ࠹ෆඔ࠹ඔऌ९...(~soshoccomn)߸ࠢਔ۲௹ದၿྛ࠹܄Б,ૌؓఃࣉྛਔᆜb7۱ࢌၞᇕ֥ದлၿྛࡗြҷࢹ০ੱބࢌၞਈ֥ᄅ؇ඔऌ௹ࡗູ1ྟᇝຉ୍4ᄅ၂2โ5୍9ᄅ,ఃᇏ,ಌാ֥ਆ௹ඔऌ(2(X୍7ᄅބ2(X୍8ᄅ)টჷႿWindሧޡܴඔऌ९bഅြၿྛٳࠏܒ(ݓႵഅြၿྛaຓሧၿྛބఃഅြၿྛ)֥ҷದaҷԛࢌၞਈ֥ඔऌ௹ࡗູ2(XX)୍1ᄅ-2(X୍12ᄅᚥಫ5୍ၛު֥ࢌၞඔऌಌാb»Ⴈࡆಃन০ੱቔູြҷࢹ֥൧ӆ০ੱ,ၛIBmіൕ,קၬr_,=nIIB၂ᄜοᅶ࣮ٚمᇏ֥קၬ,ٳљٳࢳԛཟ༯ᄎగ,ބཟഈᄎrv:,ਆ۱҆ٳ,ࣜဒ۲ਙन൞໗֥bඔऌԩೈࡱູEviោ.50ބ..R231b¹ູਔ҂ၿྛ෮࠹ෘ֥൧ӆڄགࡓܵሧЧऎႵ၂ᇁྟބॖбྟ,ൈՖബώࡓ֥ܵ࢘؇ԛؿ,Ϙೖغჴ߶ؓѓሙم֥၂ུҕඔቓԛਔཌྷؓЌ൯֥ܿק,ೂေtྐඣҐႨ9%֥ֆແtྐࡗ;ӻႵ௹ູ10۱ႏြರ֩(BC,bBS2(X)ູࡥ߄࠹,Ч໓ᆺࡌഡ၂۱ӻႵ௹(ࠧ၂҄ཟభ่ࡱყҩ,)ؓ؟۱ӻႵ௹(ࠧ؟҄ཟభ่ࡱყҧ)໙ีॖҕTBa,(હಫ5)֩ཌྷܱ໓ངbºؓၩGED֥ሃࠒٳ҃ݦඔFؽ()ބۀੱॖ0<p<1,)ӫaؽinfؽ{!F:()ᆭԫູrؽ()֥pٳ໊ඔ,ఃᇏinfіൕડቀFؽ()ᆭp֥ቋཬൌඔbᄝl%֥ཁᇷྟඣ༯,֒ҕඔt,ؽ.16ൈ,GEDؓႋ֥ٳ໊ඔູ.243,5ࠧmEbర.(0ؽ9);֒ҕඔbؽ2,GED߄ູᆞٳ҃,ఃؓႋ֥ٳ໊ඔູ;֒ҕඔbؽൈ,GEDؓႋ֥ٳ໊ඔູ.2141b»ݓႵഅြၿྛaຓሧၿྛބఃഅြၿྛ֥ٳোѓሙದၿྛ࠹܄Бb
2(X)7୍ֻ7௹മႿࢌӄժ֥ၿྛ൧ӆڄགᛍ؇ٚم41ҷࢹ০ੱཟ༯ᄎ֥ѯྟૼཁնႿཟഈᄎ,ऎႵ҂ؓӫ֥ແ҆หᆘiቐແӉطި,Ⴗແ؋ЊbᆃіૼӻႵ؟ժ(ҷದ)߶൳֞ҷࢹ০ੱཟ༯҂০ᄎ(ቐແ)֥ࢠն႕ཙ;طӻႵॢ(ҷԛ)ᄵ൳֞ҷࢹ০ੱཟഈ҂০ᄎ(Ⴗແ)֥႕ཙࢠཬbഐJnၙ11l6l4*__ؽ_b_b,ದ,,-1234oଧ8642096979899000102030405၂3၂2၂10ಁ1ြҷࢹ൧ӆ০ੱэ߄֥ൈࡗਙಁ(ቐ)ބނૡ؇ಁ(Ⴗ)Ֆ2ॖၛुԛ,ြҷࢹ൧ӆ০ੱ֥ཟ༯ᄎބཟഈᄎႵૼཁ֥ਙཌྷܱྟ,ఃᇏ,rb֥1ࢨሱཌྷܱ༢ඔູ.0297(ཌྷϴۀੱູ.001);rb֥9ࢨሱཌྷܱ༢ඔູ.0238(ཌྷϴۀੱູ.b0051)ொሱཌྷ္ܱႵোර֥ܿੰ,rb֥1ࢨொሱཌྷܱ༢ඔູ.0297(ཌྷϴۀੱູ..001);rb֥9ࢨொሱཌྷܱ༢ඔູ0260(ཌྷϴۀੱູ.b001)ACFPACF၂}!१l၂l,ರ.I}I}pplp}lpnm!}p}051015202530051015202530ཟഈᄎཟഈᄎACFPACF၂၂၂li၂၂၂c-------------l:pni[;i11}!}11-!pnlppರnԫ၂lpԫl}pn!}pnlpཟഈᄎཟഈᄎಁ2ြҷࢹ൧ӆ০ੱ֥ཟഈᄎބཟ༯ᄎ֥ሱཌྷܱಁ(ACF)ބொሱཌྷܱಁuPACr)
42ཬϲႸሹֻ325௹(ؽ)่ࡱ௹ຬބ่ࡱѯࡹଆοᅶၛഈٳ༅,ॖؓြҷࢹ০ੱ֥ཟ༯ᄎࡹ৫ೂ༯ଆ:rb,:ؽлb+ᇏ1a,Ѿ1+a၂१lam၂;;(13)a:ؽഒ:s,:s:IFm_;၂CE֗(b);(14)yѾbb+b၂,a,+:१_,;,:(15)οᅶቋնරಖሙᄵ,֤GEDٳ֥҃ແ҆หᆘҕඔb֥ܙ࠹ᆴູ.,04773่ࡱٚҵᇏ֥ཌྷܱҕඔन҂ཁᇷbࢤሢ,ૌᄝҕඔb֥ቋႪܙ࠹ᆴ֥ਣ࣍თଽؓఃࣉྛҕඔڮᆴ,؟Ցᇗྍܙ࠹,ؿགྷ֒b౼ᆴ.16ൈ,Ԣᇏ,ຓ(ࡼగ၂:,ՖଆᇏัԢ,ᇗྍܙ࠹)ଆބҕඔनཁᇷ,җҵཛ҂թᄝਙཌྷܱބၳٚҵbі1ٳљ۳ԛਔbູ2(ଆ,1ࠎႿᆞٳ҃ࡌഡ.)ބ16(ଆ,2ࠎႿGEDࡌഡ)༯֥ଆҕඔܙ࠹ࢲݔb֒ෛࠏཛ่֥ࡱٳູ҃GEDൈ,ଆބҕඔनཁᇷ;ؓඔරಖᆴLႵ෮ิۚ;AICބSCनႵ҂ӱ؇֥ࢆ֮;ѓሙ߄җҵބѓሙ߄җҵ֥ٚLjubng၂Box࠹ਈٳљູ.394ބ.223іૼࠎႿGEDࡌഡ֥ଆ2бࠎႿᆞٳ҃ࡌഡ֥ଆ1ؓrm่ࡱٳ֥҃ቐແႵ۷ݺ֥ކb,ؓြҷࢹ০ੱ֥ཟഈᄎࡹ৫ೂ༯ଆ:rb,.:ؽᇏb+ᇏ,rom၂,+a:၂a၂:,69;(16)a:=y:e,:e,IFѾ,၂mᅺb(b);(17)_1,Ѿbb+b,a+:ႃ_,,,:(၂8)࿖ؓြҷࢹ০ੱཟ༯ᄎཌྷර֥ࡹଆනམ,ᄝҕඔb֥ቋႪܙ࠹ᆴ(Վൈଆᇏ֥҆ٳҕඔ҂ཁᇷ)֥ਣ࣍თଽؓఃࣉྛҕඔڮᆴ,؟Ցᇗྍܙ࠹,ؿགྷ֒b౼ᆴ.29ൈ,ଆބҕඔनཁᇷ,җҵཛ҂թᄝਙཌྷܱބၳٚҵbі1ٳљ۳ԛਔbູ2(ଆ,3ࠎႿᆞٳ҃ࡌഡ)ބ.29(ଆ,4ࠎႿGEDࡌഡ)༯֥ଆҕඔܙ࠹ࢲݔbܙ࠹ࢲݔཁൕ,ࠎႿᆞࡌഡ֥ଆ3֥Fᆴࣇູ.046(ཌྷϴۀੱູ.,080)ଆᆜุིݔ҂ݺbႮႿૌҐ౼֥൞ᄝҕඔb֥ቋႪܙ࠹ᆴ֥ਣთଽࣉྛҕඔڮᆴ,ଆ4֥ؓඔරಖᆴбଆ3ࣇࢆ֮ਔ.672%,ಏ֤֞ਔཁᇷ֥ଆބҕඔܙ࠹ࢲݔ,ࠆ֤ਔؓ൧ӆၹሰཟഈᄎແ҆หᆘ֥۷ཁᇷ֥ކbᆃіૼࠎႿGEDࡌഡ֥ଆ4бࠎႿᆞٳ҃ࡌഡ֥ଆ3ؓr.่ࡱٳ֥҃ႷແႵ۷ݺ֥ކbြҷࢹ০ੱ҂ؓӫ֥ແ҆ᄎ,сಖ֝ᇁ҂ࢌၞժVaR࠹ෘ֥۴Чྟҵၳbක1ြҷࢹ০ੱཟ༯ᄎބཟഈᄎ֥ARMA၂GARCH၂GEDଆܙ࠹ҕඔଆ1ଆ2ଆ3ଆ4..u21622902-40၂....00184~003400107...(၂..,2806296)(18488)(72855)၂..0501ஂ၂.05353~၂.8936)(၂.(6389())....041Ӌ~03697၂0769()~၂/0,....(46362)(37942)(145088)(424153)
2ࡆ7୍ֻ7௹മႿࢌӄժ֥ၿྛ൧ӆڄགҩ؇ٚم࿃іҕඔଆଆ2ଆ3ଆ4..0၎סӋ..80ၛᇝᇝູ110ဋᇝᇝᇙ)873~0၎ႻX)123l....(11558)(22688)(75116)(70182)..ؽ၂.00536ؽ၂..00775ஂ...(218ࡎ)(21935)(၂96ၛோ)၂.130348)....0798~07871~....(184975)(178907)(156ၛၛ)(1071947)....r010008002009AIC၂.330၂.346၂.494၂.460SC၂.318၂.334၂.479၂.445....LL191312(X).....ᣃ....247ஂ046205...Qnl(10)457o3ޢ.~49~54o࿐.m.(10)253༉.223၂.515o285pnᇿ:A~C(ᄅ૫kbທط~െonCriterion)൞ԅӽྐ༏ሙᄵ;SC(hw܄tZCriterion)൞ീຐՇሙᄵ;L(Ӌ၂gmkelihod)൞ؓඔරಖᆴ.;DW.൞Ӌᆸ٠.Waኸnဒᆴ;Q1(10)ބQ2(10)ٳљ൞ଆѓሙ߄җҵބѓሙ߄җҵ֥ٚᇌުroࢨ֥L၂jungӋႻ࠹,ٳљႨটဒҗҵཛ൞ڎթᄝਙཌྷܱބၳٚҵbc()൞ܙ࠹ҕඔ֥t࠹b*tؽ,ؽ,cٳљіൕl%,5%,10%֥ཁᇷྟඣb()അြၿྛ൧ӆڄགҩ؇აбࢠᄝြҷࢹ൧ӆഈ,അြၿྛ࠻൞ሧࣁ֥܂۳ٚ,Ⴛ൞ሧࣁ֥ླٚbؓૄোഅြၿྛটඪ,ఃြҷࢹࢌၞᅬᇏൈЇݣਔҷದ؟ބҷԛॢbp:2൞ਆ۱ժ෮႘ഝ֥൧ӆၹሰ֥ࢌҭཌྷܱ༢ඔ,ᄵഅြၿྛြҷࢹြༀ֥v,aRູ(Tsay205:)ངؽୈۂ(1)+a(ၙ1)+2P12ab(1)Ֆv(,)(,9)Ⴎଆa2ଆa4ބൔ(9)(10)ॖٳљԛ൧ӆၹሰཟ༯ᄎބཟഈᄎ֥1҄ཟభ่ࡱ௹ຬބ่ࡱٚҵ֥ყҩᆴ,Ⴎൔa(11)(12)ॖٳљ࠹ෘԛҷದ؟ބҷԛॢ֥,VaRᄜႮൔ(19)ॖ֤ٳࠏܒ֥ြҷࢹြༀ֥1۱ӻႵ௹(ᄅ؇)ބ9%ᇂྐඣ༯֥bVaRՖ3ॖၛुԛ,ԢਆՑն֥ࢌၞਈэ߄֝ᇁVaR֥ࢲܒྟэຓ,ݓႵഅြၿྛ֥ᄅ؇VaRࠎЧЌӻᄝ໗קඣ,طఃഅြၿྛބຓሧၿྛ֥VaRनႵૼཁ֥ഈശ൝b¹ݓႵഅြၿྛ൞ြҷࢹ൧ӆഈቋᇶေ֥ሧࣁҷԛٚ,ఃҷࢹб(࠹ҷԛਈა¹ႋھඪ,ြҷࢹြༀࣜ࠶ሧЧٳ༢ඔ۷ିሙಒّ֥႘ఃြༀ֥ڄགሑঃ,ૌؓՎࣉྛਔ࠹ෘbݓႵഅြၿྛࣜ࠶ሧЧٳ༢ඔ֥नᆴބѓሙҵٳљູ.521%ބ%,ᆜุӯ༯ࢆ൝;ఃഅြၿྛ֥ࣜ࠶ሧЧٳ༢ඔ೯ۚႿଢႵഅြၿྛ(ఃनᆴބѓሙҵٳљູ.758%ބ%b)࣐ܵຓሧၿྛြҷࢹြༀ֥൧ӆڄག҂ն(ҷࢹي֮൞ᇶေჰၹ,)ఃࣜ࠶ሧЧٳ༢ඔಏӻ࿃ᄝ໊ۚᄎྛ(ఃनᆴބѓሙҵٳљູc1792%ބc271%b)
oཬϲႸሹֻ325௹࠹ҷದਈᆭб)ۚղ.b31࣐ܵఃഅြၿྛ္൞ሧࣁ֥࣪ҷԛٚ,ఃҷࢹбေбݓႵഅြၿྛཬ.b13طຓሧၿྛ֥ҷࢹбࣇູ.,025ູડቀਢൈሧࣁ֥ླေ,ຓሧၿྛӮູြҷࢹ൧ӆഈࣜӈྟ֥ሧࣁҷದٚbႮႿݓႵഅြၿྛބఃഅြၿྛҷԛ֥ॢժ൳֞൧ӆ০ੱཟഈ҂০ᄎ֥ࢠཬ႕ཙ;ཌྷႋ֥,Фຓሧၿྛҷದ֥؟ժಏ૫ਢሢ൧ӆ০ੱཟ༯҂০ᄎ֥ࢠնԊࠌb۲োၿྛᄝြҷࢹ൧ӆഈҷࢹࢲܒބ൧ӆ০ੱ֥҂ؓӫᄎ,൞֝ᇁ൧ӆڄགᄝၿྛࡗٳ҃ބэ֥ቋᇶေჰၹbࠎႿᆞࡌഡ֥ݓႵഅြၿྛVaRܙ࠹ۚႿࠎႿGEDࡌഡ֥ܙ࠹,ఃഅြၿྛބຓሧၿྛᄵऎႵཌྷّ֥ܿੰ(b3)൧ӆၹሰແ֥҆ཁᇷ҂ؓӫྟଆਔਆᇕ࠹ෘٚم֥ॖбྟb၂3035GED၂ᓽᅶࢡࡡ25015105){2१ಫ2ࡆ1ᖫߘ2ಫ3ࡆၛ(3)ಁ3ٳࠏܒ֥ြҷࢹ൧ӆڄৼбࢠ:u1)ݓႵഅြၿྛ;}2)ఃഅြၿྛ;u3)ຓሧၿྛbಁᇏٳљ۳ԛਔઋႿGEDބᆞٳ҃ࡌഡ֥VaRܙ࠹baࢲඏეࠎႿؓӫٳ҃ࡌഡ֥൧ӆڄགҩ؇ٚم҂ؓࢌၞժ֥ྟᇉࣉྛٳ,ᆃᇕҩ؇ٚمᇗޭ൪ਔ؟aॢ൧ӆڄག֥ҵၳྟބؓ൧ӆၹሰ҂ؓӫແ҆หᆘ֥ህކbЧ໓ᄝၘႵ࣮֥ࠎԤഈ,ᄝၛ༯ࠫ۱ٚ૫ቔਔࣉ၂֥҄ڿࣉb(1)ٳљ۳ԛਔ҂ྟᇉࢌၞժ֥൧ӆڄགҩ؇ٚمbࡼ൧ӆၹሰ֥҂০эٳࢳӮཟഈ֥҂০эބཟ༯֥҂০э,ၛٳљҩקॢބ؟֥൧ӆڄག,Ֆط۷ູൡ֥֒ಒקࢌၞᅫࠇሧӁቆކ֥൧ӆڄགb(2)ࠎႿؓӫٳ҃ࡌഡ֥൧ӆڄགҕඔଆ,๙ӈݖ؇ֹܱᇿႿ൧ӆၹሰ่ࡱѯ֥ၳٚҵࢲܒބൈࡗཌྷ၇ྟ,ط൪่ࡱ௹ຬ֥ൈࡗཌྷ၇ྟb(3)бࢠٳ༅ਔࠎႿᆞٳ҃ࡌഡބܼၬ༂ҵٳ҃ࡌഡ֥ARMA၂GARCHଆᄝҩ؇൧ӆڄགٚ૫֥ൡႨྟ,ູഅြၿྛ൧ӆڄགҩ؇ิ܂ਔ၂Ϯྟ֥ଆܒᄯބࡎٚمbҩ؇൧ӆڄག֥ଢ֥ᇶေႵ:၂൞ࡎࠏܒa҆aሧӁቆކaࢌၞᅫ֥֩ሹุڄགሑঃ,࠹ิൡ؇֥ࣜ࠶ሧЧၛַპॖି֥٤ყ௹ാbؽ൞ކࣜ࠶ሧЧܵ۽ऎቔႨ֥Ⴕིؿߨ,ၛؓഅြၿྛಆྛ֥൧ӆڄགሹਈބڄགࢲܒࣉྛ॥ᇅބႄ֝bࣜ࠶ሧЧ൞അြၿྛሧӁڵᅏܵᇏቋᇗေ֥ܵҕඔᆭ၂,അြၿྛሹྛ๙ݖؓ۲ཛြༀࣜ࠶ሧЧٳ༢ඔ֥טࢫটุགྷఃྛູொݺބᆟҦ֝ཟ,Ֆطႄ֝ބטࢫࠎҪྛ֥ࣜႏྛ
2(X୍ֻ֗7௹ࠎႿࢌၞժ֥ၿྛ൧ӆڄགҩ؇ٚم45၂=ؽ=၂m၂ؽؽؽؽؽؽؽؽؽؽؽؽؽؽؽؽؽؽؽؽؽؽؽؽؽؽؽؽؽؽؽؽؽؽؽؽؽؽؽؽؽؽؽؽؽ၂ؽؽ၂ᱣ~ᱣᱣؽ၂၂,,၂ᱣ၂ٻ~-ູbഅြၿྛᆺླ۴ऌЧྛ۲ཛြༀࣜ࠶ሧЧٳ༢ඔ֥ࣜဒٳ҃ሑঃ,ࣼିაြༀ࠹߃(ࠇሸކࣜႏ࠹߃)ཌྷࢲކൌགྷࣜ࠶ሧЧ֥Ⴕིᇂ,ྙӮؓ൧ӆڄགሹਈაࢲܒ֥ൌൈaࡓҩބט॥,ՖطൌགྷሧЧܵაڄག֥ܵޙ,ၛࠣሧЧܵაြༀ֥ܵ၂bࣜ࠶ሧЧቔႨ֥Ⴕིؿߨ,൮༵၇ঠႿؓ൧ӆڄག֥ކҩ؇,അြၿྛᄝᇅקࣜ࠶ሧЧܵᆟҦൈ,္ႋࡼ۷؟֥ଢܻሇ၍֞ඌҪ૫,ືՎҌିᇅקൡކЧྛൌ࠽֥൧ӆڄགܵᆟҦބ॓࿐֥ܵҕඔ(ೂࣜ࠶ሧЧٳ༢ඔ֩b)ҕॉ໓ངq1]ӧ൯תaൗׅ,2ࠧ2:uࠎႿGARCHଆ֥vmRٚمؓᇏݓܢ൧֥ٳ༅,)(ࠝਟն࿐ഠ߶॓࿐࿐Бvֻ4௹,ֻ11၂17်bq2rਾૼू,2၎ຉ:uਾૼूᇶ༜ᄝᇏݓၿྛြൌീྍሧЧླྀၰܿ߃߶ၰഈ֥ࢃ߅ေׄ.,c)~.,cn}3rਾ౩ڶaᇘमaಥݚaਾཫྒ,2ႆ7:uၛRCH၂GEDଆᄝ࠹tᇏݓ௹ࠊ൧ӆڄགࡎᆴᇏ֥ႋႨ,)(ܵ۽ӱ࿐Б)ֻl௹,ֻ117၂121်b}4]ກ,2ࡆ5:uࣁವൈࡗਙٳ༅v,ᇏၲЧ,ࠏྀ۽ြԛϱഠb}5]Խڂ,2ࡆ1:uࣁԨ൧ӆڄགܵv,฿ࣃն࿐ԛϱഠbq6rᇏݓၿྛြࡓࡎაܵჴ߶,2(X:uഅြၿྛ൧ӆڄགܵᆷႄv..,c~brcႃ.cnb}7xԫທᇹ,SSۿti~ౡC૫,lo2ࡆ,o3Computatioର,1aٕӋfortheӋalysisofMarketُsp,kӋᔐᆟoႼཕၛᅺ૫no~21:153၂.1728ದб१er.,P.,[]Վᇹn,F.,Eber,JM.,ழdHea.,thD,,o198ThinkingCOherendyp,Rࢼ11:68၂.71,,o9B[]ali2(X)3AnEXࠕ१eueValApp~htoEstimati٦VolatilityandValueatُskp,Jo௹ჳofBbl:83၂.1~0810e[]BCB,S2(X,Inter़mଢConveฑലnceofCࠧi߭MenastandCᓽiၛSuremtandରs:aRevisewodFramrk(Bael,1)BឃIC၂teonBankingSuPep१}11Be]ర֥,J१e,oBr,,o၂ien2(X)2HowAeeeuratareValuecatُskM࠺elsatCialBanksp,?Joഒyਾofӌಪโၫϔ3:.1֥3၂1111~}12xెᦟH..֥n,PeterH࠺ahl,,o195FoᅳؑastingVطUm~ngStOChastioV01atilityandGARcHp,ڛEࡊѾႿჳ.ofFೂيӥ1:33၂57,o13[]ӋUeஅ~ev.,T,1986GeneඳiԏAutoӥಸreoiveContio.ଢoVlatility,n,Jolࡎ.ଢofE૫noྋٻob31:3၂.07327[14]Dऴ.ฆࠧn.,J,Htrԫԫn,P.,deVries,C.,,o198ӋeCostofConserv,as,,timԄሱದ8:101၂.103q.,15rEbedein,EKeUer,U.,,o195Hٕ֗dႨUeDib૬butionsinFie",nacBeaӴ11:281၂.29}16]E,.૫ۀhtaP..,ߘupPe࠻,C,Mikྃh,C.,,197Mඳeil٦܄ඦmalEventsforInsuranceandFinၼce,riࢡr.}.,,171EmbؽhtSP.,,,5SဝortdnitskyG,,o198U࿓9ontheEdઅp,චሱࠫ1:%၂.10q18rӋ.glb.,RF.,,o1982AutorᝧᆔழIveCondjെϓଢHeteᇹk࠺ழെeity٠~߭ip,onࠣbnbष࠺ࢺ:987၂1(X)8~19[]GerhaxdscѾ,~kචಫ,2ྙskManଧmentandValueCឃ.tieoninFinaialInstitutions,Wiley&༥,.Inc}20xG,,~197ECழo१eᇜbູ֗ଢysbi(3ଽ,Pແnmce၂H..,[21]HulJ,W४ӥ,A.,,o198ValueatُskwhenD૬lyChangeioMљrketVariablesarenotNo༶,Dis૬bu,,,Jo,ࡆᆸofܨmೂ੧3:9၂c19q2rJor,iP.,,17Vd,9ueatُsk:௬eNewBenehඹforCؽೂUi٦Mazketࠫᆸ,ീGw၂Hil.,[23]JPMO,,m195ُskMe၊eb၂techniecalDocument,MomyGIObalReseazch.,[24rKuPie,cP.,,0B6enJ,,o197RᙞlatoryCࠧi߭R၎IUIؽm.forMโࠌetُskandthe࠻၂Cb֗entAPPhp,~ഐိم٠omnu9PaPer,nڹeඳReserveBoa࠺cofGoveM~[25]ؽoMؽadeli,2ၛ,o௬eM࠺.ӆngofqඹratio.ଢࠫsk:܄ϴdeencڟththeAnalyႼ5OftheDataColecdbytheBase1C၂tep,Workࡆgpב᧹r,ُskManࢡ෦१ழtGmupoftheBaselC၂.te
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