TP CH KHOA HC V CNG NGH, I HC NNG - S 5(34).

2009

NGHIN CU CHT LNG D BO CA NHNG M HNH QUN

TR RI RO TH TRNG VN - TRNG HP CA VALUE-ATRISK MODELS 1
A RESEARCH ON PREDICTABILITY OF CAPITAL MARKET RISK
MANAGEMENT MODELS - CASE OF VALUE-AT-RISK MODELS
ng Hu Mn

Trng i hc Kinh t, i hc Nng

TM TT
Cho n thi im ny, cuc khng hong ti chnh ton cu gn y c nhng tc
ng ht sc tiu cc ln th trng vn, nguyn nhn dn n s st gim th thm v gi tr
ca nhng ch s chng khon, c bit l cc nn kinh t pht trin. S gia tng dao ng
trn th trng vn thc y cc nh nghin cu v gii thc t kho st, xut v pht
trin nhng m hnh qun tr ri ro thch hp. Qun tr ri ro th trng vn trn c s nhng
m hnh Value-at-Risk (VaR - gi tr chu ri ro) nhanh chng tr thnh mt ch hc thut
nng v nhn c s quan tm c bit trong hn mt thp nin qua. Tuy nhin, s tho lun
trn ch ny vn ang trong tranh ci v cha c mt m hnh VaR no c pht trin c
kh nng cung cp nhng con s d bo ri ro chnh xc. Thng qua vic nghin cu ch s
FTSE 100 trn th trng chng khon Anh quc, mc tiu chnh ca bi bo ny l tip tc tm
thm bng chng lm sng t nghi vn c hay khng nhng m hnh VaR c la chn
hot ng hiu qu trong nhng giai on th trng dao ng mnh, c bit l di s tc
ng ca cuc khng hong tn dng di tiu chun gn y. t c mc tiu ny, bi
bo bt u bng cch tho lun ngn gn VaR, v sau ng dng 4 m hnh VaR kh ph
bin, bao gm Historical Simulation, RiskMetrics, N-GARCH(1,1) v t-GARCH(1,1) di nhng
gi nh phn phi ca thu nhp n th trng vn Anh quc.
ABSTRACT
So far, the current global financial crisis has had dramatic impacts on capital markets
causing adverse fall in the value of stock indices especially in developed economies. The
volatility of capital markets has stimulated researchers and practitioners to propose and develop
proper risk management models. Value at Risk-based capital market risk management has
become an increasingly important topic, and received significant attention in the last decade.
However, the discussion on the topic of Value at Risk (VaR) has been still remaining open to
debate, and yet there has not been a perfect approach developed which is able to produce
accurate predicted losses. Based on empirically surveying the FTSE 100 index of the UK
security market, the principal objective of this paper is to achieve a deep insight into the major
question of whether proposed VaR approaches perform efficiently during the recent sub prime
crisis period. To gain that aim, the paper starts with a brief discussion on VaR then applies four

Tc gi chn thnh cm n nhng kin ng gp ca TS. Khaled Hussainey - Ging vin i hc

Stirling, Vng Quc Anh; v GS.TS. Darren Henry - Ging vin i hc Latrobe, c.
1

126

TP CH KHOA HC V CNG NGH, I HC NNG - S 5(34).2009

popular VaR models, including the Historical Simulation, the RiskMetrics, N-GARCH (1,1) and
t-GARCH (1,1) models with particular distributional assumptions of income to the capital market
in England.

1. t vn
Vic ng dng nhng m hnh VaR trong qun tr ri ro th trng vn thu
ht s ch c bit ca cc nh nghin cu v gii thc t. Tuy nhin, s tho lun
trn ch ny vn ang trong tranh ci v cha c mt m hnh VaR no c pht
trin c kh nng cung cp nhng con s d bo ri ro mt vn chnh xc so snh vi s
bin thin ca gi tr danh mc th trng. Nguyn nhn chnh l do VaR hu nh ch
c nghin cu v kho st di nhng iu kin th trng n nh. Kt qu l, di
nhng iu kin kh l tng ny, nhng m hnh VaR cung cp kt qu d bo ri
ro ca danh mc th trng tng i chnh xc. Tuy vy, trong nhng giai on th
trng dao ng mnh, mt s nghin cu trc y tm thy rng nhng m hnh
VaR khng hon ton hot ng tt, thm ch s chnh lch so vi thc t l rt ln.
Cuc khng hong ti chnh ton cu gn y chnh l ng lc tc gi tip tc tm
thm bng chng lm sng t phn no nhng tranh lun ny. Theo , mt s cu hi
nghin cu trc ht cn c t ra:
1. C hay khng nhng m hnh VaR c la chn hot ng hiu qu trong sut
khong thi gian th trng dao ng mnh va qua;
2. M hnh thch hp nht nn c ng dng o lng VaR; v
3. Nhng im hc thut mi m cuc nghin cu thc nghim ng gp.
Mt iu ch l cuc kho st s ch tp trung nghin cu mt danh mc th trng ch
cha duy nht mt loi ti sn ( l ch s vn chung FTSE 100) thay v mt s lng
ln cc loi chng khon khc nhau trong danh mc th trng. V vy, chng ti khng
cp n vai tr ca s a dng ha trong vic gim ri ro ca danh mc u t.
2. L lun chung v Value-at-Risk (VaR)
Gi tr chu ri ro (VaR) c nh ngha nh l s thua l ti a c d bo
trc t vic gi mt chng khon hay mt danh mc th trng trong sut mt qung
thi gian vi mt mc tin cy nht nh. VaR tr li cu hi gi tr cao nht m mt
danh mc u t c th mt i di nhng iu kin th trng bnh thng trn c s
mt qung thi gian v tin cy nht nh [7].
Chng hn, nu mt danh mc u t c VaR hng ngy l 10 triu Bng Anh
ti 1% mc ngha, ngha l c xc sut 99% tin cy rng trung bnh ch c 1 trong 100
ngy mua bn, s thua l hng ngy thc t ca danh mc s vt qu 10 triu Bng
Anh.
3. Nghin cu thc nghim trn ch s FTSE 100
3.1. D liu
D liu c s dng trong bi bo l chui d liu ti chnh phn nh s bin
127

TP CH KHOA HC V CNG NGH, I HC NNG - S 5(34).2009

ng gi hng ngy ca ch s chng khon FTSE 100 trn th trng chng khon Anh
quc. Khong thi gian thc nghim s ko di 7 nm, t 05/06/2002 n 22/06/2009.
C th, khong thi gian ny s c chia thnh 2 chui thi gian nh: (i) chui thi
gian u tin c s dng tnh ton tham s bt u t 05/06/2002 n 31/07/2007;
(ii) chui cn li ko di t 01/08/2007 n 22/06/2009 d bo VaR v kim tra m
hnh (backtesting). Mt ch y l rng chui d liu th hai ch nh xc trng vi
khong thi gian khng hong ti chnh ton cu, bt u manh nha t khng hong tn
dng di tiu chun M vo u nm 2007, lan rng sang cc nn kinh t khc (giai
on nh im) vo nhng thng cui nm 2008, v c du hiu gim dn vo gia
nm 2009. Nh vy, cuc nghin cu s kim tra cht lng d bo ca nhng m hnh
VaR c la chn bn trong giai on khng hong ti chnh, iu m t c kho st
v nghin cu trong c s hc thut cho n nay.
3.2. Phn tch d liu
Bng 1 di y cung cp nhng thng s thng k m t c bn nht i vi
thu nhp hng ngy ca ch s FTSE 100. Thu nhp c tnh ton t gi ng ca
hng ngy trn c s phng php Logarit: Rt = ln(Pt/Pt -1). ng thi, biu 1 minh
ha s dao ng trong thu nhp ca FTSE 100 theo thi gian; biu 2 m t s kt
hp gia phn phi tn sut ca FTSE 100 v ng cong phn phi chun gia
05/06/2002 n 22/06/2009.
Bng 1: Thng s thng k m t thu nhp ca FTSE 100
gia 05/06/2002 v 22/06/2009

DIAGNOSTICS
Number of observations

1781

Largest return

9.38%

Smallest return

-9.26%

Mean return

-0.0001

Variance

0.0002

Standard Deviation (SD)

0.0141

Skewness

-0.0978

Kurtosis

10.0322

Jarque-Bera Test
Augmented Dickey-Fuller (ADF)
Ljung-Box test Q(12)

128

FTSE 100

2298.153***
-45.5849**
93.3161***
Autocorre: 0.03

TP CH KHOA HC V CNG NGH, I HC NNG - S 5(34).2009

1536.6***

Ljung-Box test Q2 (12)

Autocorre: 0.25

The ratio of SD/mean

141

Ch : 1. *, **, and *** : mc ngha ln lt ti 10%, 5%, v 1%.

2. 95% critical value ca augmented Dickey-Fuller (ADF) statistic = -3.4158

Biu 1: Dao ng ca FTSE

100
i 05/06/2002 22/06/2009

Biu 2: phn phi tn sut ca FTSE

100 v ng cong phn phi chun
24.00%

FTSE 100 DAILY RETURNS

22.00%

12.00%
10.00%

20.00%

RETURNS

8.00%
6.00%
4.00%
2.00%

FTSE 100 Frequency

Normal

18.00%
16.00%
14.00%
12.00%

0.00%
-2.00%
-4.00%
-6.00%

10.00%
8.00%
6.00%

-8.00%
-10.00%
-12.00%

4.00%

0.00%
-9.50%
-9.00%
-8.50%
-8.00%
-7.50%
-7.00%
-6.50%
-6.00%
-5.50%
-5.00%
-4.50%
-4.00%
-3.50%
-3.00%
-2.50%
-2.00%
-1.50%
-1.00%
-0.50%
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
4.50%
5.00%
5.50%
6.00%
6.50%
7.00%
7.50%
8.00%
8.50%
9.00%
9.50%

06/06/09

06/12/08

06/06/08

06/12/07

06/06/07

06/12/06

06/06/06

06/12/05

06/06/05

06/12/04

06/06/04

06/12/03

06/06/03

06/12/02

06/06/02

2.00%

Nhn xt: chui thu nhp hng ngy ca FTSE 100 tn ti mt s c tnh nh sau: Th
nht, cnh ca phn phi thu nhp thc t di v dy hn so vi cnh ca phn phi
chun. iu ny ng rng nhng im dao ng bt thng xut hin thng xuyn
v vt ra ngoi ng cong phn phi chun (nhn biu 2). Tht vy, kt qu ca
kim nh Jarque-Bera hy b gi nh thu nhp hng ngy tun theo quy lut phn
phi chun. Th hai, s dao ng ca th trng khng bn vng theo thi gian. Hay
ni cch khc, phng sai bt nh theo thi gian (nhn biu 1). Th ba, kt qu kim
nh ADF cho thy rng chui d liu tn ti tnh bt bin ca nhng thuc tnh thng
k ca thu nhp theo thi gian (stationarity). y l iu kin tin quyt phn tch bt
k d liu thng k theo thi gian. Cui cng, thng k Ljung-Box (Q(12)) ch ra rng
thu nhp hng ngy ca FTSE 100 c rt t t tng quan; trong khi , do bi thu nhp
hng ngy bnh qun gn nh bng 0, nn thu nhp hng ngy bnh phng cng chnh
l phng sai ca thu nhp, v thng k Ljung-Box (Q2 (12)) cng cho thy c t tng
quan trong thu nhp bnh phng.
3.3. Tnh ton VaR
3.3.1. Cch tip cn phi tham s (Non-Parametric approaches)
M hnh Historical Simulation li din ni ting v ph bin nht ca cch tip cn
ny. Gi nh quan trng nht ca cch tip cn ny l rng qu kh gn y l mt
ngun d bo tin cy ca dao ng tng lai. Theo , thu nhp c sp xp theo th
129

TP CH KHOA HC V CNG NGH, I HC NNG - S 5(34).2009

t tng d n , v VaR l gi tr m ti t sut li tc n m trn 1% ho c 5 % th p

nht [9].
3.3.2. Cch tip cn tham s (Parametric approaches)
Theo cch tip cn ny, thu nhp ca danh mc u t theo sau mt phn phi c gi
nh trc, v thng thng l phn phi chun.
cch tip cn ny, VaR di gi nh phn phi chun s c tnh nh sau:

VaRNormal = z

(1)

Ngc li, di phn phi student-t, cng thc VaR s l:

v2
VaRStudent = t

v

(2)

Trong : , , v ln lt l s trung bnh, lch chun, v mc t do ca d liu mu.

z v t l gi tr tham chiu ca ln lt phn phi chun v phn phi student-t.
3.3.2.1. M hnh RiskMetrics
Cng thc (3) di y ch ra cch tnh phng sai theo xut ca h thng
RiskMetrics.

t2 = (1 )rt 21 + t21

(3)

Trong : l h s quy c, vi 0.94 cho d bo dao ng 1 ngy v 0.97 cho d bo

dao ng hng thng. rt 21 v t21 ln lt l thu nhp bnh phng (theo Logarit) v
phng sai ca ngy hoc thng lin trc.
3.3.2.2. M hnh N-GARCH(1,1) v t-GARCH(1,1)
Phng sai c iu kin ca nhng m hnh ny l:

Rt = + t t

= t + R
2
t

2
t 1

(4)
2
t 1

Trong : t , , l nhng tham s m hnh, v cn c tnh ton (nhn bng 2).

Bng 2. Uc tnh tham s ca m hnh N-GARCH(1,1) v t-GARCH(1,1)

130

Parameters

N-GARCH(1,1)*

t-GARCH(1,1)*

0.0955952

0.092612

0.8907231

0.8946485

0.0000012

0.0000011

TP CH KHOA HC V CNG NGH, I HC NNG - S 5(34).2009

0.9863183

0.9872605

Number of Observations

1304

1304

Log likelihood

4401.63

4406.5

* Ch : Cc tham s c c tnh ti 1% mc ngha. Tng t nh RiskMetrics, chng ta trc ht c tnh

cc tham s ca hai m hnh GARCH(1,1) s dng phn mm STATA. Bc tip theo l tnh ton phng sai hng
ngy trong khong thi gian t 05/06/2002 n 31/07/2007. Cui cng l tnh ton VaR ti 99%, 97.5% v 95%
tin cy chui thi gian th hai trn c s phng trnh (1) i vi m hnh N-GARCH(1,1) v phng trnh (2) i
vi t-GARCH(1,1).

3.3.3. K thut m rng ca Cornish-Fisher (CF)

Khi thu nhp khng theo phn phi chun, mt trong nhng phng php hu
ch c tnh VaR l ng dng k thut m rng ca Cornish-Fisher [8]. Theo ,
VaR s c tnh ton trn c s iu chnh gi tr tham chiu ca phn phi chun (gi
tr z). Ni cch khc, phng php ny s m rng gi tr tham chiu z ca phn phi
chun bao ph c nhng im dao ng vt ra ngoi ng cong phn phi
chun (c bit nh l violations).
Theo phng php ny, gi tr z s l:

1
1
1
zCF = z + (z 2 1) p3 + (z 3 3 z) p4 (2 z 3 5 z) p32
6
24
36

(5)

Trong : p3 , p4 ln lt l h s bt i xng (Non-Skewness) v dy vt qu

(Excess Kurtosis) ca cc cnh ca phn phi thc t so vi phn phi chun.
3.4. Kt qu
3.4.1. D bo VaR di gi nh thu nhp tun theo phn phi chun
Biu 3a, 3b, 3c: D bo VaR ti 99%, 97.5% v 95% tin cy so snh vi s bin thin thu
nhp ca FTSE 100 trong sut giai on khng hong ti chnh t 01/08/2007 n 22/06/2009

FTSE-100 99% VaR

8.00%
6.00%
4.00%
2.00%
0.00%
-2.00%
-4.00%
-6.00%
-8.00%
-10.00%
-12.00%
01/08/07
01/09/07
01/10/07
01/11/07
01/12/07
01/01/08
01/02/08
01/03/08
01/04/08
01/05/08
01/06/08
01/07/08
01/08/08
01/09/08
01/10/08
01/11/08
01/12/08
01/01/09
01/02/09
01/03/09
01/04/09
01/05/09
01/06/09

-14.00%

Historical Simulation

Normal-GARCH(1,1)

Student-t GARCH(1,1)

RiskMetrics

01/08/07
01/09/07
01/10/07
01/11/07
01/12/07
01/01/08
01/02/08
01/03/08
01/04/08
01/05/08
01/06/08
01/07/08
01/08/08
01/09/08
01/10/08
01/11/08
01/12/08
01/01/09
01/02/09
01/03/09
01/04/09
01/05/09
01/06/09

10.00%

Returns

FTSE-100 97.5% VaR

12.00%
10.00%
8.00%
6.00%
4.00%
2.00%
0.00%
-2.00%
-4.00%
-6.00%
-8.00%
-10.00%
-12.00%

12.00%

Returns

Historical Simulation

Normal-GARCH(1,1)

Student-t GARCH(1,1)

RiskMetrics

131

TP CH KHOA HC V CNG NGH, I HC NNG - S 5(34).2009

FTSE-100 95% VaR

01/08/07
01/09/07
01/10/07
01/11/07
01/12/07
01/01/08
01/02/08
01/03/08
01/04/08
01/05/08
01/06/08
01/07/08
01/08/08
01/09/08
01/10/08
01/11/08
01/12/08
01/01/09
01/02/09
01/03/09
01/04/09
01/05/09
01/06/09

12.00%
10.00%
8.00%
6.00%
4.00%
2.00%
0.00%
-2.00%
-4.00%
-6.00%
-8.00%
-10.00%
-12.00%

Returns

Historical Simulation

Normal-GARCH(1,1)

Student-t GARCH(1,1)

RiskMetrics

Bng 3: Kt qu kim nh m hnh di gi nh thu nhp tun theo phn phi chun
Models

Kupiec test 1

Independence test 2

Conditional coverage test 3

99%

97.50%

95%

99%

97.50%

95%

99%

97.50%

95%

HS 4

Rejected

Rejected

Rejected

Accepted

Rejected

Rejected

Rejected

Rejected

Rejected

RM

Rejected

Rejected

Rejected

Accepted

Rejected

Rejected

Rejected

Rejected

Rejected

N-GARCH

Rejected

Rejected

Rejected

Accepted

Accepted

Rejected

Rejected

Rejected

Rejected

t-GARCH 5

Rejected

Rejected

Rejected

Accepted

Accepted

Rejected

Rejected

Rejected

Rejected

Ch :

1. Kim nh Kupiec kim tra s cn i gia tn s thc t ca nhng dao ng bt thng

(violations) vi tn s c d bo bi cc m hnh VaR. Kim nh ny theo sau phn phi
Chi bnh phng 2 vi 1 mc t do ti gi nh 10% mc ngha.
2. Kim nh tnh c lp kim tra c hay khng nhng dao ng bt thng ngy mai ph
thuc trn nhng dao ng bt thng hm nay. Kim nh ny theo sau phn phi Chi bnh
phng 2 vi 1 mc t do ti gi nh 10% mc ngha.
3. Kim nh Conditional Coverage l s tng hp ca 2 kim nh trn, theo sau phn phi
Chi bnh phng 2 vi 2 mc t do ti gi nh 10% mc ngha.
4. Mc d m hnh Historical Simulation khng thuc cch tip cn tham s, nhng chng ti
vn kt hp m hnh ny vo so snh vi kt qu ca cc m hnh cn li.
5. Mc d thu nhp s c gi nh tun theo phn phi Student -t khi s dng m hnh tGARCH(1,1) v v th khng thuc trng hp ny, nhng chng ti vn kt hp m hnh ny
vo so snh vi kt qu ca cc m hnh cn li.

3.4.2. D bo VaR di gi nh thu nhp tun theo phn phi chun c iu chnh
bi k thut m rng Cornish-Fisher
Biu 4a, 4b, 4c: D bo VaR ti 99%, 97.5% v 95% tin cy so snh vi s bin thin thu
nhp ca FTSE 100 trong sut giai on khng hong ti chnh t 01/08/2007 n 22/06/2009

132

TP CH KHOA HC V CNG NGH, I HC NNG - S 5(34).2009

FTSE-100 99% VaR

Historical Simulation

Normal-GARCH(1,1)

Student-t GARCH(1,1)

RiskMetrics

Returns

Historical Simulation

Normal-GARCH(1,1)

Student-t GARCH(1,1)

01/06/09

01/05/09

01/04/09

01/02/09
01/03/09

01/01/09

01/12/08

01/11/08

01/10/08

01/09/08

01/08/08

01/07/08

01/06/08

01/03/08

01/02/08

01/01/08

01/12/07

01/11/07

01/09/07
01/10/07

01/08/07

01/06/09

01/05/09

01/04/09

01/02/09
01/03/09

01/01/09

01/12/08

01/11/08

01/10/08

RiskMetrics

Returns

Historical Simulation

Normal-GARCH(1,1)

Student-t GARCH(1,1)

01/06/09

01/04/09
01/05/09

01/02/09
01/03/09

01/01/09

01/12/08

01/11/08

01/09/08
01/10/08

01/08/08

01/07/08

01/02/08
01/03/08

01/01/08

01/11/07
01/12/07

01/10/07

01/09/07

01/08/07

01/06/08

FTSE-100 95% VaR

12.00%
10.00%
8.00%
6.00%
4.00%
2.00%
0.00%
-2.00%
-4.00%
-6.00%
-8.00%
-10.00%
-12.00%

01/04/08
01/05/08

01/09/08

01/08/08

01/07/08

01/06/08

01/05/08

01/04/08

01/03/08

01/02/08

01/01/08

01/12/07

01/11/07

01/09/07

01/08/07

01/10/07

Returns

01/05/08

FTSE-100 97.5% VaR

12.00%
10.00%
8.00%
6.00%
4.00%
2.00%
0.00%
-2.00%
-4.00%
-6.00%
-8.00%
-10.00%
-12.00%
-14.00%

01/04/08

12.00%
10.00%
8.00%
6.00%
4.00%
2.00%
0.00%
-2.00%
-4.00%
-6.00%
-8.00%
-10.00%
-12.00%
-14.00%
-16.00%
-18.00%
-20.00%

RiskMetrics

Bng 4: Kt qu kim nh m hnh di gi nh thu nhp tun theo phn phi chun c
iu chnh bi k thut m rng Cornish-Fisher
Models

Kupiec test 1

Independence test 2

Conditional coverage test 3

99%

97.50%

95%

99%

97.50%

95%

99%

97.50%

95%

HS 4

Rejected

Rejected

Rejected

Accepted

Rejected

Rejected

Rejected

Rejected

Rejected

RM

Rejected

Accepted

Rejected

Rejected

Accepted

Rejected

Rejected

Accepted

Rejected

N-GARCH

Rejected

Accepted

Rejected

Rejected

Accepted

Rejected

Rejected

Accepted

Rejected

t-GARCH 5

Rejected

Accepted

Rejected

Rejected

Accepted

Rejected

Rejected

Accepted

Rejected

Trn c s nhng kt qu kim tra m hnh trn, mt s im c tng kt

nh sau:
Mt l, m hnh Historical Simulation (thuc cch tip cn phi tham s)
khng hot ng trong sut giai on khng hong ti chnh ti c 3 mc ngha c
sp xp t mc an ton cao nht theo khuyn co ca y ban Basel v gim st hot
ng ngn hng (1%), n mc trung bnh (2.5%), v cui cng ti mc cnh bo (5%).
Tng t, nhng m hnh tham s cng hu nh b hy b di gi thit phn phi
chun c p t. C th, c 3 m hnh tham s u b hy b bi kim nh Kupiec,
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phn nh rng tn s thc t ca nhng ngy dao ng bt thng (violations) khng

bn vng vi tn s c d bo bi cc m hnh VaR. Ngc li, sau khi c iu
chnh bi k thut Cornish-Fisher, 3 m hnh tham s hot ng tng i h iu qu,
c bit ti mc ngha 2.5%. Nh vy, cuc kho st tm thy rng, nhng gi nh
phn phi c tc ng ngha ln cht lng d bo ca nhng m hnh VaR hn c
tnh ring c ca mi m hnh VaR.
Hai l, nghin cu cng tm thy rng trong sut giai on khng hong, nhng
m hnh VaR ch hot ng hiu qu ti 97.5% tin cy. tin cy ny thp hn mc
khuyn co ca y ban Basel khi d bo ri ro i vi danh mc u t ca mt nh
ch ti chnh (99%).
Th ba, chng ti nhn thy rng trong sut giai on khng hong, cc nh
ch ti chnh s dng h thng qun tr ri ro th trng vn trn c s VaR c tnh
VaR hng ngy phi duy tr mt t l d tr vn ti thiu cao hn nhiu so vi t l
an ton vn 8% ca y ban Basel; v kt qu ny lm tng chi ph vn ca cc nh ch
ti chnh. C th, theo Basel, mc vn d tr yu cu ti thiu phi bng 3 n 4 ln gi
tr VaR ca danh mc th trng [2]. Theo , t kt qu nghin cu thc nghim, mi
nh ch ti chnh s phi duy tr ti thiu t 12.3% n 16.4% vn d tr thay v 8%
nh quy nh.
Cui cng, nghin cu khng nh rng khng c bt k bng chng no chng
t m hnh t-GARCH(1,1) cung cp nhng con s d bo ri ro chnh xc hn m hnh
N-GARCH(1,1). iu ny c th l tri ngc vi mt s kt qu ca cc cng trnh
nghin cu trc y lin quan n vic ng dng nhng m hnh GARCH(1,1) trong
d bo dao ng th trng [1], [6], [9].
TI LIU THAM KHO
[1]. Angelidis, T., Benos, A., and Degiannakis, S. (2004), The Use of GARCH Models in VaR
Estimation, Statistical Methodology, 1, pp. 105-128.
[2]. Basel committee on Banking Supervision (1996), Amendment to the Capital Accord to
Incorporate Market Risks, Bank of International Settlement. Switzerland: Basel.
[3]. Bollerslev, T. (1986), Generalized Autoregressive Conditional Heteroskedasticity,
Journal of Econometrics, 31, pp. 307-327.
[4]. Campbell, R., Huisman, R., and Koedijk, K. (2001), Optimal portfolio selection in a
Value-at-Risk framework, Journal of Banking and Finance, 25, pp. 1789-1804.
[5]. Chou, H.C. and Wang, D. (2007), Forecasting Volatility on the U.K. Stock Market: A
Test of the Conditional Autoregressive Range Model, International Research Journal of
Finance and Economics, 10, pp. 7-13.
[6]. Christoffersen, P.F, Hahn J., and Inoue, A. (2001), Testing and Comparing Value at Risk
Measures, Journal of Empirical Finance, 8, pp. 325-342.
[7]. Duffie, D., and Pan, J. (1997), An Overview of Value at Risk, Journal of Derivatives 4,
3, pp. 7-49.
[8]. Khindanova, I., and Rachev, S.T. (2000), Value at Risk: Recent Advances, Handbook
on Analytic-Computational Methods in Applied Mathematics, CRC Press LLC, pp. 801858.
[9]. Pritsker, M. (1997), Evaluating Value at Risk Methodologies, Journal of Financial
Services Research, 12, pp. 201-242.
[10]. Sarma, M., Thomas S., and Shah., A. (2003), Selection of VaR models, Journal of
Forecasting, 22, pp. 337-358.
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