基于t-Copula-GARCH-t模型的中国股票市场风险分析

Risk analysis of China's stock market based on t-Copula-GARCH-t

针对传统在险价值(value at risk,VaR)模型的局限性,结合Copula技术和GARCH模型,运用t-Copula-GARCH-t模型对中国股票市场进行风险分析,对上证综合指数和深证综合指数进行了实证研究,结果证实了所应用模型和方法的可行性和有效性.

With the limitation of the traditional models of value at risk, combined Copula techniques with GARCH model and applied t-Copula-GARCH-t model are used to analyze the risk of China＇ s stock market. The empirical study from Shanghai and Shenzhen stock markets indicate that the model applied in this paper is feasi- ble and effective.