Estimation of Financial Risk Based on Time-Varying Copula Garch Model

LIU Juan; WANG Qin; LIU Xi; CHANG Chun-yan

doi:10.3969/j.issn.1673-159X.2014.03.018

LIU Juan, WANG Qin, LIU Xi, CHANG Chun-yan. Estimation of Financial Risk Based on Time-Varying Copula Garch Model[J]. Journal of Xihua University(Natural Science Edition), 2014, 33(3): 81-84. DOI: 10.3969/j.issn.1673-159X.2014.03.018

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Estimation of Financial Risk Based on Time-Varying Copula Garch Model

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Taking GARCH(1, 1)-Norm model for marginal distribution, by tool of Kendall tau, adopting slip window method, GARCH-Time Varying-Copula model is constructed.Using Monte-Carlo simulation combination assets risk is measured with different weights. Through blond technology and ST-country agricultural stock index empirical analysis, Using failure days test, the feasibility and veracity of measure portfolio assets risk are tested through Kendall tau and the time-varying Copula from time series analysis model.

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Estimation of Financial Risk Based on Time-Varying Copula Garch Model

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