基于t Copula的中国股市指数组合VaR估计及其评价

传统的联合正态分布假设无法刻画金融市场尾部相依情况,导致投资组合VaR的低估。采用tCopula克服了这一问题;并对上证指数和深证指数构成的等权重投资组合的95%和99%VaR进行了验证;结果表明,基于t Copula模型的VaR表现要优于传统的方差-协方差分析法、历史模拟法和蒙特卡罗模拟法以及基于动态条件相关系数模型的估计方法。

Estimate and Evaluation on VaR of China Stock Indices Portfolio Based on t Copula

The assumption of traditional joint normal distribution can not describe tail dependence condition of finance market,which cause low estimation on VaR.This paper uses t Copula to problem and to test 95 percent and 99 percent of VaR of equal weight investment portfolio of the composition of Shanghai stock indicaes and Shengzhen stock indices and the results show that the performance of VaR based on t Copula Model is better than traditional variance-covariance analysis method,historic simulation method,Monte Carlo simulation method and estimation method of correlative coefficient model based on dynamic condition.