碩士 / 國立臺灣海洋大學 / 航運管理學系 / 100 / This study exams the positive risk-return trade-off relationship for Howe Robinsson Container Index (HRCI). We fit the Value-at-Risk (VaR) models for HRCI’s price risk and then apply the ICAPM model to explore the dynamics and significances of the Risk Premium Parameters. Both the Historical Simulation and the Parametric method for HRCI’ VaR are compared by backtesting. The results show that the Parametric method with GARCH(1,1) model could catch the volatility process of HRCI. Besides, the empirical results of ICAPM demonstrate that the Risk Premium Parameter β is time-varying and not always positive. This result shows the risk-return trade-off relationship in HRCI does not always positive, but fluctuates due to some extreme events. Finally, the study finds that the performance of VaR as a risk measure to catch extreme bad news is always better than that of standard deviation.
| Identifer | oai:union.ndltd.org:TW/100NTOU5301053 |
| Date | January 2012 |
| Creators | 王郁宏 |
| Contributors | Heng-Chih Chou, 周恆志 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 64 |
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