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Multivariate Time-Varying G-H Copula GARCH Model and Its Application in the Financial Market Risk Measurement
المؤلفون المشاركون
Chen, Qi-an
Wang, Dan
Pan, Mingyong
المصدر
Mathematical Problems in Engineering
العدد
المجلد 2015، العدد 2015 (31 ديسمبر/كانون الأول 2015)، ص ص. 1-9، 9ص.
الناشر
Hindawi Publishing Corporation
تاريخ النشر
2015-10-18
دولة النشر
مصر
عدد الصفحات
9
التخصصات الرئيسية
الملخص EN
Taking full advantage of the strengths of G-H distribution, Copula function, and GARCH model in depicting the return distribution of financial asset, we construct the multivariate time-varying G-H Copula GARCH model which can comprehensively describe “asymmetric, leptokurtic, and heavy-tail” characteristics, the time-varying volatility characteristics, and the extreme-tail dependence characteristics of financial asset return.
Based on the conditional maximum likelihood estimator and IFM method, we propose the estimation algorithm of model parameters.
Using the quantile function and simulation method, we propose the calculation algorithm of VaR on the basis of this model.
To apply this model on studying a real financial market risk, we select the SSCI (China), HSI (Hong Kong, China), TAIEX (Taiwan, China), and SP500 (USA) from January 3, 2000, to June 18, 2010, as the samples to estimate the model parameters and to measure the VaRs of various index risk portfolios under different confidence levels empirically.
The results of the application example are in line with the actual situation and the risk diversification theory of portfolio.
To a certain extent, these results also justify the feasibility and effectiveness of the multivariate time-varying G-H Copula GARCH model in depicting the return distribution of financial assets.
نمط استشهاد جمعية علماء النفس الأمريكية (APA)
Chen, Qi-an& Wang, Dan& Pan, Mingyong. 2015. Multivariate Time-Varying G-H Copula GARCH Model and Its Application in the Financial Market Risk Measurement. Mathematical Problems in Engineering،Vol. 2015, no. 2015, pp.1-9.
https://search.emarefa.net/detail/BIM-1073415
نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)
Chen, Qi-an…[et al.]. Multivariate Time-Varying G-H Copula GARCH Model and Its Application in the Financial Market Risk Measurement. Mathematical Problems in Engineering No. 2015 (2015), pp.1-9.
https://search.emarefa.net/detail/BIM-1073415
نمط استشهاد الجمعية الطبية الأمريكية (AMA)
Chen, Qi-an& Wang, Dan& Pan, Mingyong. Multivariate Time-Varying G-H Copula GARCH Model and Its Application in the Financial Market Risk Measurement. Mathematical Problems in Engineering. 2015. Vol. 2015, no. 2015, pp.1-9.
https://search.emarefa.net/detail/BIM-1073415
نوع البيانات
مقالات
لغة النص
الإنجليزية
الملاحظات
Includes bibliographical references
رقم السجل
BIM-1073415
قاعدة معامل التأثير والاستشهادات المرجعية العربي "ارسيف Arcif"
أضخم قاعدة بيانات عربية للاستشهادات المرجعية للمجلات العلمية المحكمة الصادرة في العالم العربي
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