基于Copula函数的沪深300股指期货相依风险研究

Research of China 300 Stock Index Futures Relationship Risk Based on Copula Function

本文对沪深300股指和股指期货仿真交易收益率极端风险和相依关系进行了研究,用DCC-GARCH模型描述了股指期货和现货之间动态的条件相关系数,并以极值分布为边际分布对四种常用的Copula函数进行了拟合,发现Frank Copula的拟合效果最好,其次为Clayton Copula。在此基础之上,对不同组合的VaR和CVaR进行测度,发现投资组合比例与风险之间呈现"U"型特征,这也为股指期货套期保值提供了一种新的研究方式。

This paper study extreme risk and the relationship between the China 300 stock index and stock trading simulation yield. DCC-GARCH model used to describe the dynamic conditions of the correlation coefficient between the stock index futures and spot goods, and extreme value distribution for the marginal distribution of the four commonly used Copula function fitting.We found Frank Copula is the best fit, followed by Clayton Copula. On this basis, with different combinations of VaR and CVaR for measure, we find ＂U＂ -type features between the proportion of portfolio and risk, which provides a new ap- proach for hedge research.