华东师范大学(哲学社会科学版) ›› 2011, Vol. 43 ›› Issue (6): 123-130.

• 金融问题探讨 • 上一篇    下一篇

Copula相依结构下沪深股指波动及动态VaR计量

占梦雅;许伟   

  1. 华东师范大学金融与统计学院/国际金融与风险管理研究中心， 上海， 200241
  • 出版日期:2011-11-15 发布日期:2011-11-29
  • 通讯作者: 占梦雅;许伟
  • 作者简介:占梦雅;许伟
  • 基金资助:

    本文为教育部人文社会科学一般基金项目（11YJC630276）的阶段性成果。

The Volatility of Shanghai and Shenzhen Stock Indexes and Its Dynamic VaR Measurement with the Copula Dependence

ZHAN Meng-Ya, XU Wei   

  • Online:2011-11-15 Published:2011-11-29
  • Contact: ZHAN Meng-Ya, XU Wei
  • About author: ZHAN Meng-Ya, XU Wei

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摘要： 采用带三类不同噪音的ARMAARCH模型拟合沪深股指收益率分布，并通过随机模拟的方式进行拟合优度检验，结果显示，基于分形高斯噪音的ARMAARCH模型能够较好刻画沪深股指收益率波动的长相依性、厚尾性及波动性聚类特征。进一步通过两类不同CopulaARMAARCH模型处理沪深股指相依性，并通过随机模拟进行拟合优度检验，模拟结果显示，基于分形高斯噪音的Student’s t Copula ARMAARCH模型能够较好刻画沪深股指收益率波动的VaR风险。

关键词: Copula, ARMAARCH模型, 分形高斯, 沪深股指收益率, 动态VaR

Abstract: The paper uses an ARMAARCH model with three different types of noise to fit Shanghai and Shenzhen stock index return distribution. The result of the goodness of fit test with the stochastic simulation method shows that the ARMAARCH model with fractal Gaussian noise can characterize the volatility of Shanghai and Shenzhen stock returns, such as long dependence, fat tails and volatility clustering. Further, two different types of CopulaARMAARCH models are used to fit the dependence between Shanghai and Shenzhen stock indexes, and the result of the goodness of fit test with the stochastic simulation method shows that the CopulaARMAARCH model with fractal Gaussian noise can better characterize the VaR of volatility of Shanghai and Shenzhen stock returns.