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《Journal of Guangxi Normal University(Natural Science Edition)》 2016-01
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Research on the Risk Measurement of Stock Index Based on Mixture-Copula and ARMA-GARCH-t Models

LU Siyao;XU Meiping;School of Science,Beijing Technology and Business University;  
In view of the influence of recent Chinese stock market volatility on investors,three representative stock index's daily returns of Shanghai,Shenzhen and Hong Kong stock markets are selected for modeling and analysis.First,ARMA-GARCH(1,1)-t models are chosen to fit the marginal returns.Then,a linear combination function of Gumbel,Clayton and t-Copula is applied to describe the correlation structure of returns.Finally,Monte Carlo simulation method is employed to compute Value at Risk,expected shortfall and median shortfall of the three stock index under different confidence levels.Here median shortfall is a new risk measurement index proposed recently.The research provides references for investors and managers with different risk preferences to regulate the system risk.
【Fund】: 国家自然科学基金资助项目(61304155);; 北京工商大学研究生部促进人才培养综合改革项目(19005428069)
【CateGory Index】: F832.51;F224
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