Risk Analysis of China’s Portfolio Based on Copula-GARCH-M Model
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.
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