英文摘要 |
To effectively manage interest rate risk, it is crucial to estimate the tail behavior of distribution of interest rate accurately. This article investigates the tail behavior of Taiwan Commercial Paper rates by applying extreme value theory (EVT) to the tail of the distribution of interest rate changes. The formal statistical tests are conducted to test the differences between the characteristic parameters of the left and the right tails in order to have an insight into the occurrence of extremes in the tails. The structural change of interest rate changes are also considered to verify the robustness of empirical results. The interest rate changes are firstly filtered by ARMA and GARCH models to account for the serial correlation and heteroscedasticity. Then EVT are used to model the tails of the residuals and the performances of the models are evaluated accordingly. The empirical results show that distribution of interest rate changes is fat-tailed and asymmetric, indicating the normality assumption will lead to underestimation of VaR. In addition, we find that the right tail is statistically fatter than the left one. According to the results of structural change tests, the evidences of structural change in 1998 in left tails are stronger whereas those of right tails are weaker. The backtesting results show that, before structural change, EVT models are the best VaR model of right tail whereas GARCH outperforms EVT models in left tail. After structural change, Cond. GEV is the superior model for right tail, but for left tail, none is proved to be reliable models as all models overestimate VaRs. The results indicate that structural change, which is the unavoidable factor to be accounted for, will affect not only the tail behavior of distribution of interest rate changes but also VaR forecasting power of models. |