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

摘要: 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。

Abstract: 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.