摘要
用时变Copula-GJR-Skewed-t模型研究了深证22个行业分类指数中任意两个投资组合的动态VaR,并与静态VaR比较。实证结果表明,时变t-Copula函数在众多Copula函数中对行业投资组合的拟合效果最优,给出了模型估计出的VaR最大和最小的5对行业组合,不同行业组合的动态VaR在股市周期各阶段关系相对稳定,同一行业组合的动态VaR和静态VaR关系相对稳定,且略高于静态VaR。
Based on time-varying Copula-GJR-Skewed-t model, portfolio dynamical VaR of any two industrial indexes among 22 industrial indexes of Shenzhen stock exchanges is analyzed and compared to corresponding static VaR. The empirical result shows that among several Copulas, time-varying t-Copula is the most suitable for the industrial portfolios. Industrial portfolios of the 5 biggest and 5 smallest VaR are given. The relationship of dynamical VaR of different portfolios keeps stable in all phases of stock market cycle. The relationship of dynamical VaR and static VaR of a portfolio keeps stable, the former is a little bigger than the latter.
出处
《金融理论与实践》
CSSCI
北大核心
2013年第9期7-11,共5页
Financial Theory and Practice
