开放式基金投资组合风险度量——基于Copula-ARMA-GARCH模型

The Risk Measurement on Portfolio of Open-End Fund—Based on Copula-ARMA-GARCH Model

本文构建Copula-ARMA-GARCH模型,研究开放式基金投资组合的风险度量问题。所选数据为景顺长城和泰达宏利的每日单位净值序列,采用ARMA-GARCH-t模型拟合其边缘分布,选取拟合效果较好的t-Copula函数描述资产之间的相关结构,建立联合分布模型,进而采用蒙特卡洛模拟方法计算投资组合的VaR。结果表明,景顺长城和泰达宏利之间对称相关,当置信水平相同时,不同权重组合的VaR不同,投资组合权重相同时,随着置信水平提高,VaR增大,应用Copula-ARMA-GARCH模型计算投资组合VaR对研究基金市场的风险具有重要的理论意义和实用价值。

The Copula-ARMA-GARCH model is constructed to study the risk measurement on portfolio of open-end funds. The selected data are the daily unit net worth series of Invesco Great Wall and Teda Manulife. The ARMA-GARCH-t model is used to fit the edge distribution, and t-Copula function with good fitting effect is selected to describe the correlation structure between assets. The joint distribution model is built, and then the Monte Carlo simulation method is used to calculate the VaR of the portfolio. The results show that there is a symmetric correlation between Invesco Great Wall and Teda Manulife, and at the same confidence level, the VaR of different weight combinations is different;when the portfolio weight is the same, with the increase of confidence level, VaR increases. The application of Copula-ARMA-GARCH model to calculate portfolio VaR has important theoretical significance and practical value for studying the risk of fund market.