运筹与管理2016，Vol.25Issue(2)：220-225,6.DOI:10.12005/orms.2016.0067
沪深股市的相关结构分析与投资组合风险度量--基于ARFIMA-GARCH-Copula模型
Shanghai and Shenzhen Stock Market Related Structure Aanalysis and Portfolio Risk Measurement Based on ARFIMA-GARCH-Copula Model
摘要
Abstract
It is well known that financial return has sharp-peaks, fat-tails, heteroscedasticity and long memory. Considering three features, the paper constructs a risk measure model based on the ARFIMA-GARCH-Copula for financial portfolio, which is composed by Shanghai Stock index return and Shenzhen Component Index return equal weight.First the classical R/S analysis is adopted to test the long memory of a single asset.Second, the paper adopts different GARCH models to fit each asset return series.Third, it selects Copula function to describe the relational structure between each asset.Fourth, it uses Monte Carlo method to produce each return sequence of the assets.And then it calculates the VaR of financial portfolio.The empirical results show that there is appar-ent long memory property in the Shanghai and Shenzhen stock market which has symmetrical tail correlation. Kupiec test results show that the model of ARFIMA-GARCH-Copula is more efficient than GARCH-Copula model in measuring the portfolio risk.关键词
ARFIMA/GARCH/Copula函数/VaR风险值/Kupiec检验Key words
ARFIMA/GARCH/copula function/value at risk( VaR)/kupiec test分类
管理科学引用本文复制引用
吴玉宝,汪金菊..沪深股市的相关结构分析与投资组合风险度量--基于ARFIMA-GARCH-Copula模型[J].运筹与管理,2016,25(2):220-225,6.基金项目
国家重大科研装备研制项目（ZDYZ2012-1）；安徽省自然科学基金资助项目（1208085MF91）；中央高校基本科研业务费专项资金项目 （）
