重新評估臺灣指數期貨之流動性調整風險值

An Revaluation Study of Liquidity-Adjusted VaR on TAIFEX Index Futures

本研究結合Bangia et al. （1999）以及Al Janabi （2009, 2011a,2011b, 2013） 對於流動性調整風險值（liquidity adjusted VaR,LVaR）的觀點，探討國內「臺指期貨」、「電子期貨」、「金融期貨」、「小臺指期貨」、「櫃買期貨」，以及「非金電期貨」，自2007年10月8日起完整掛牌交易以後至2013年12月31日止，在歷經全球金融風暴──「前期階段」，以及未歷經金融風暴──「後期階段」，採用傳統風險值（Value at Risk）以及流動性調整風險值評估之差異性。實證結果發現，不論是否歷經全球金融風暴，LVaR實證模式對於指數期貨的風險值評估適切性均較高，「前期階段」的風險值均高於「後期階段」的風險值，且（1）在「前期階段」，包含「臺指期貨」、「電子期貨」、「櫃買期貨」，以及「非金電期貨」均通過回溯測試，顯示「理論穿透次數」與「實際穿透次數」具有一致性。（2）在「後期階段」則有「電子期貨」、「櫃買期貨」，以及「非金電期貨」通過回溯測試，代表「理論穿透次數」與「實際穿透次數」也具有一致性。

This research integrates concepts of liquidity-risk-adjusted VaR (LVAR) of Bangia et al. (1999) and Al Janabi (2009, 2011a, 2011b, 2013) to revalue VaR on six TAIFEX Index Futures. The objects are TAIEX Futures (TX), Electronic Sector Index Futures (TE), Finance Sector Index Futures (TF), Mini-TAIEX Futures (MTX), GreTai Securities Market Stock Index Futures (GTF) and Non-Finance Non- Electronics Sub-Index Futures (XIF). We separate research period into two periods, the first one is through “Financial crisis” from 2007 year to 2009 year, and the other period is through “Post-financial crisis” from 2010 year to 2013 year. The empirical findings reveal LVaR model is more suitable than traditional VaR model in spite of during financial crisis period or post-financial crisis period. To synthesize, there are both important conclusions: (a) In Financial crisis period, TX, TE, GTF, XIF pass kupiec’s back testing. The real violation rate is consistent with theory violation rate. (b) In post-financial crisis period, TE, GTF, XIF are passed Kupiec’s back testing. The real violation rate is consistent with theory violation rate.