基于Copula-GARCH-M函数的投资组合风险分析
Risk Analysis of China’s Portfolio Based on Copula-GARCH-M Model
曹文彬 1胡培玲1
作者信息
- 1. 江南大学商学院 江苏 无锡 214122
- 折叠
摘要
金融风险问题的研究一直都是众多学者关注的重点。本文结合了刻画多个随机变量之间非线性相依结构的Copula函数与描述金融时间序列波动模型的GARCH-M函数，建立了一个新的Copula-GARCH-M模型。通过对上证A股和上证B股进行蒙特卡洛模拟的实证分析，发现t-Copula-GARCH-M具有更强的风险度量能力，能对投资组合的风险进行更有效的管理。
Abstract
The study of financial risk issues has been the focus of at ention of many scholars. In this paper, we combine Copula function and GARCH-M function into a new Copula-GARCH-M model, Copula function portrays the non-linear dependence between multiple random variables and GARCH-M function describes financial time series volatility models. Through the empirical analysis of the Shanghai A shares and he Shanghai B shares based on Monte Carlo Simulation, we find that t-Copula-GARCH-M has a stronger ability of risk measurement, and can manage the risk of financial portfolio more ef ectively.
关键词
Copula/GARCH-M/风险分析/VaRKey words
Copula/GARCH-M/Risk analysis/VaR引用本文复制引用
基金项目
教育部人文社会科学研究规划基金(12YJA630007)
出版年
2014
NETL
NSTL
万方数据