基于时变Copula GARCH模型的金融风险度量

Estimation of Financial Risk Based on Time-Varying Copula Garch Model

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。

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.