Abstract
In this study, use the Constant Conditional Correlation (CCC) proposed by Bollerslev (1990) and Dynamic Conditional Correlation (DCC) proposed by Engle (2002) Multivarite GARCH Model, to estimate on exchange rate CNY and HKD / NTD, CNY and USD / NTD, CNY and EUR / NTD, CNY and SGD / NTD, HKD and EUR / NTD, HKD and SGD / NTD,USD and SGD / NTD, EUR and SGD / NTD, composed of Foreign Exchange Rate Portfolio for Value at Risk (VaR). By comparing the CCC-GARCH and DCC-GARCH two models based on the GARCH(1,1), different confidence levels of predict ability to Value at Risk, based on the Kupiec in back-testing and RMSE for capital efficiency, two risk prediction performance indicators to assess for measure analysis. The result shows that DCC-GARCH(1,1)-N model compare to deal with financial assets for feature fat-tail and volatility clustering, is the better ability to risk performance control, therefore suitable selected as forecasting performance foreign exchange rate portfolio for Value at Risk model.
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