摘要
采用EGARCH模型对资产组合中的每一资产建模,资产的联合分布采用条件Copula构建,应用常相关模式建立了Copula-EGARCH模型;采用Monte Carlo法估计资产组合时变风险价值;讨论了模型的检验问题,给出了相关的检验方法。以上证综指与深证成指数据为样本,选用广义误差分布拟合误差分布并选取BB1Copula进行实证分析,实证结果表明所建模型是合理有效的,所估计时变风险价值具有良好的估计精度。
In this paper,each asset in portfolio was modeled with EGARCH model and the joint distribution of the asset was fitted with conditional Copula,and then,aCopula-EGARCH model with constant correlation was established.The time-varying VaR of portfolio was estimated based on Monte Carlo method.The test of model was discussed and the related test methods were given.An empirical study on SSE composite index and SZSE component index by using GED and BB1Copulaindicates that the model established is effective and the estimation of time-varying VaR of portfolio is accurate.
出处
《山东科技大学学报（自然科学版）》
CAS
2010年第5期97-101,共5页
Journal of Shandong University of Science and Technology(Natural Science)
