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研究生： 鄭仲均
論文名稱： 白銀期貨的價格限制-以馬可夫鏈蒙地卡羅方法分析
price limits in the silver futures market: a MCMC approach
指導教授： 謝淑貞
學位類別： 碩士
Master
系所名稱： 商學院 - 國際經營與貿易學系
Department of International Business
論文出版年： 2006
畢業學年度： 94
語文別： 英文
論文頁數： 39
中文關鍵詞： 價格限制 、風險值
外文關鍵詞： MCMC, FIGARCH
相關次數： 點閱：101  下載：44 
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    • 在這篇論文中，我們運用馬可夫鏈蒙地卡羅(MCMC)方法來估計沒有價格限制下的白銀期貨價格。接著我們採用FIGARCH模型來計算VaR值，以進而評估估計成果。在本文中我們分別對三種不同分配下的FIGARCH模型計算VaR值，而實證結果顯示出在沒有價格限制下，白銀期貨有較好的估計結果。

    In this paper, we try to implement the MCMC method to simulate the price of the silver futures without price limits. Then we compute the VaR by using the FIGARCH model because of the long memory properties in our data. There are three distributions we use to estimate model and compute VaR. The empirical results show that the silver futures without price limits performs better in computing in-sample VaR.

    1. Introduction 5
    2. Research Methodology 9
    2.1 Unit Root Tests and Lo’s Test................9
    2.1.1 The Augmented Dickey-Fuller Test.........9
    2.1.2 The Phillips Perron Test................10
    2.1.3 Lo’s Test..............................11
    2.2 Markov Chain Monte Carlo (MCMC) method.........12
    2.3 FIGARCH (p, d, q) model........................14
    2.4 VaR model and Kupiec LR Test...................16
    2.4.1 VaR model..............................16
    2.4.2 Kupiec LR Test.........................17
    3. Data and Empirical Results 19
    3.1 Data...........................................19
    3.2 Estimation Results.............................20
    3.2.1 The MCMC method results................20
    3.2.2 The FIGARCH model results..............21
    3.3 The computation of VaR.........................22
    3.3.1 The computation of in-sample VaR with price
    limit....................................22
    3.3.2 The computation of in-sample VaR without price
    limit....................................23
    3.3.3 Comparison...............................24
    4. Conclusions 25
    Reference 27
    Tables and Figures 30

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