欧债危机环境中资产组合ES模型比较研究

Abstract

Abstract: DCC-GARCH and time-varying Copula-EVT models are constructed respectively to discuss the changes of dependencies between stock markets after the outbreak of European Debt Crisis. 2-2 combinations of the stock index returns are made, the portfolio ES models are established under various models assumed, and the measurement accuracy of all ES models are compared and discussed after the crisis through backtesting analysis. China Shanghai Composite Index, the Frankfurt DAX index of Germany and S&P500 Index of the United States are used to make empirical experiment. Empirical studies show that after the crisis, the risk measure accuracy of time-varying Copula-EVT-ES models are significantly higher than DCC-GARCH-ES.Further, it is important to select marginal distribution for time-varying Copula-EVT-ES models. Finally,under extremely volatile financial market conditions, the time-varying t-Copula-AR(1)-GJR(1,1)-EVT-ES model, which is good at capturing the leverage effect and characterizing fat tails, achieves relatively better risk measure results.

Key words: European debt crisis, DCC-GARCH, time-varying copula, EVT, ES, backtesting analysis

CLC Number:

YU Wen-hua, WEI Yu, CHUN Wei-de. Comparatively Study on Portfolio ES Models under European Debt Crisis[J]. Chinese Journal of Management Science, 2014, 22(5): 8-15.

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Comparatively Study on Portfolio ES Models under European Debt Crisis

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