基于混合Copula和ARMA-GARCH-t模型的股票指数风险度量研究

doi:10.16088/j.issn.1001-6600.2016.01.014

Abstract

Abstract: In view of the influence of recent Chinese stock market volatility on investors,three representative stock index’s daily returns of Shanghai,Shenzhen and Hong Kong stock markets are selected for modeling and analysis. First,ARMA-GARCH(1,1)-t models are chosen to fit the marginal returns. Then, a linear combination function of Gumbel,Clayton and t-Copula is applied to describe the correlation structure of returns. Finally,Monte Carlo simulation method is employed to compute Value at Risk,expected shortfall and median shortfall of the three stock index under different confidence levels. Here median shortfall is a new risk measurement index proposed recently. The research provides references for investors and managers with different risk preferences to regulate the system risk.

Key words: mixture-Copula model, ARMA-GARCH(1,1)-t model, value at risk, expected shortfall, median shortfall, Monte Carlo simulation

CLC Number:

F830. 91

LU Siyao, XU Meiping. Research on the Risk Measurement of Stock Index Basedon Mixture-Copula and ARMA-GARCH-t Models[J].Journal of Guangxi Normal University(Natural Science Edition), 2016, 34(1): 93-101.

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Research on the Risk Measurement of Stock Index Basedon Mixture-Copula and ARMA-GARCH-t Models

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