| 基于时变Copula GARCH模型的金融风险度量 |
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| 引用本文： | 刘娟,王沁,刘曦,昌春艳.基于时变Copula GARCH模型的金融风险度量[J].西华大学学报(自然科学版),2014(3):81-84,90. |
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| 作者姓名： | 刘娟 王沁 刘曦 昌春艳 |
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| 作者单位： | [1]湖南科技学院数学与计算科学系计算数学研究所,湖南永州425199 [2]西南交通大学数学学院,四川成都610031 |
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| 基金项目： | 中央高校基本科研业务费专项资金资助（SWJTU12CX057）; 2009教育部人文社会科学研究项目基金资助（09YJCZH104）; 西南交通大学“希望之星”资助 |
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| 摘 要： | 以GARCH(1,1)-Norm模型为边缘分布,以Kenddall tau为工具,采取滑动窗口的方法,建立了GARCH-时变-Copula模型,在此基础上利用蒙特卡洛技术度量了不同权重下的组合资产风险。通过对金发科技和ST国农两支股票的数据进行实证分析,利用失败天数的检验方法,验证了基于Kenddall tau与时间序列分析模型相结合的时变Copula模型在度量组合资产风险上的可行性与准确性。
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| 关 键 词： | 时变Copula kenddall tau GARCH(1 1)-Norm 金融风险 |
Estimation of Financial Risk Based on Time-Varying Copula Garch Model |
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| LIU Juan,WANG Qin,LIU Xi,CHANG Chun-yan.Estimation of Financial Risk Based on Time-Varying Copula Garch Model[J].Journal of Xihua University:Natural Science Edition,2014(3):81-84,90. |
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| Authors: | LIU Juan WANG Qin LIU Xi CHANG Chun-yan |
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| Affiliation: | 1. Institute of Computational Mathematics ,Department of mathematics and Computational Science ,Hunan University of Science and Engineering, Yongzhou 425199 China ; 2. School of Mathematics, Southwest Jiaotong University, Chengdu 610031 China ) |
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| Abstract: | Taking GARCH（ 1,1）-Norm model for marginal distribution,by tool of Kendall tau,adopting slip window method, GARCH-Time Varying-Copula model is constructed. Using Monte-Carlo simulation combination assets risk is measured with different weights. Through blond technology and ST-country agricultural stock index empirical analysis,Using failure days test,the feasibility and veracity of measure portfolio assets risk are tested through Kendall tau and the time-varying Copula from time series analysis model. |
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| Keywords: | time-varying Copula Kendall tau tail dependence financial risk |
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