| 基于Copula—GARCH模型的民族地区沪市A股投资风险研究 |
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| 引用本文： | 常城,徐赐文.基于Copula—GARCH模型的民族地区沪市A股投资风险研究[J].中央民族大学学报(自然科学版),2012,21(3):77-81,87. |
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| 作者姓名： | 常城 徐赐文 |
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| 作者单位： | 中央民族大学理学院,北京,100081 |
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| 基金项目： | 国家自然科学基金，中央民族大学“211”工程学科建设项目资助 |
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| 摘 要： | 本文采用Copula—GARCH模型对金融市场中投资组合的风险问题进行分析,并选取沪市A股中西部民族地区的5支股票进行实证研究,结合Monte Carlo模拟计算了投资组合的VAR值,结果显示对资产进行适当的组合可降低投资者的风险,从而证实了模型的可行性和有效性.
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| 关 键 词： | Copula—GARCH Copula函数 VaR值 Monte Carlo模拟 |
The Investment in Minorit areas of Shanghai A-share Based on Copula-GARCH Model |
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| CHANG Cheng,XU Ci-wen.The Investment in Minorit areas of Shanghai A-share Based on Copula-GARCH Model[J].Journal of The Central University for Nationalities(Natural Sciences Edition),2012,21(3):77-81,87. |
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| Authors: | CHANG Cheng XU Ci-wen |
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| Institution: | (College of Science,Minzu University of China,Beijing 100081,China) |
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| Abstract: | In this paper,a Copula-Garch model is built for risk analysis of portfolio investment,choose Shanghai a-share six stocks for empirical research and the VAR value of portfolio investment is calculated by methods of Monte Carlo Simulation.The results getting from empirical research indicates that appropriate portfolio can reduce the risk of investors,which proved the feasibility and effectiveness of the model. |
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| Keywords: | Copula-Garch model Copula function VAR monte carlo |
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