基于半参数多元Copula-GARCH模型的开放式基金投资组合风险分析

Risk Analysis of Portfolio Investment in Open-end Fund Based on Multivariate Copula-GARCH and Semi-parameter Estimation

利用Copula技术对我国开放式基金市场的投资组合进行了风险分析。为克服传统Copula模型对金融尾部数据刻画能力的不足,建立了半参数的多元Copula-GARCH模型,灵活地对各支基金的边缘分布进行拟合,刻画了开放式基金投资组合的相依结构。并利用基于Copula技术的蒙特卡洛模拟,对投资组合进行了VaR分析,结果证实了所建立模型的可行性和有效性。

Copula technique is used for risk analysis of portfolio investment in market of open-end fund in China.To avoid defects of classic Copula models in capturing tail of financial data,Copula-GARCH model with Semi-parameter estimation is built to fit marginal distribution of each fund neatly and to capture the dependence structure of portfolio investment in market of open-end fund.And using Monte Carlo simulation based on copula techniques and analyzing portfolio investment Value-at-risk,the results testify that the model is feasible and effective.