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2013•Shuxue de shijian yu renshiRequires access

Estimation of Portfolio VaR under Clayton Copula-GARCH model

Ming Li

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Abstract

In this paper,we use Copula method to measure VaR of portfolio which contain stock index futures.First,choose different GARCH models to fit each asset return series, second,select Clayton Copula function to describe the relational structure between each asset of the portfolio and build joint distribution model,third,use Monte Carlo method to produce each return sequence of the assets,and then calculate VaR of the portfolio.Kupiec inspection showed that the VaR measure method based on Clayton Copula-GARCH model is effective.

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What this paper is about

In this paper,we use Copula method to measure VaR of portfolio which contain stock index futures.First,choose different GARCH models to fit each asset return series, second,select Clayton Copula function to describe the relational structure between each asset of the portfolio and build joint distribution model,third,use Monte Carlo method to produce each return sequence of the assets,and then calculate VaR of the portfolio.Kupiec inspection showed that the VaR measure method based on Clayton Copula-GARCH model is effective.

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Available abstract

In this paper,we use Copula method to measure VaR of portfolio which contain stock index futures.First,choose different GARCH models to fit each asset return series, second,select Clayton Copula function to describe the relational structure between each asset of the portfolio and build joint distribution model,third,use Monte Carlo method to produce each return sequence of the assets,and then calculate VaR of the portfolio.Kupiec inspection showed that the VaR measure method based on Clayton Copula-GARCH model is effective.

Key concepts: Copula (linguistics), Portfolio, Autoregressive conditional heteroskedasticity, Econometrics, Futures contract, Joint probability distribution, Portfolio optimization, Economics

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