本文關(guān)鍵詞：基于FIGARCH-EVT-Copula模型的外匯投資組合風(fēng)險測度研究　出處：《重慶理工大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 外匯風(fēng)險 長記憶性 FIGARCH模型 極值理論 Copula

【摘要】：隨著人民幣匯率體制的改革和外匯市場機(jī)制的不斷完善,外匯投資現(xiàn)已成為繼股票投資后的又一重要投資領(lǐng)域。近年來,又由于各國資源開始重新配置,加劇了外匯市場波動的頻繁和幅度,導(dǎo)致外匯風(fēng)險不斷加大。在這一背景下研究我國外匯市場的風(fēng)險,并對其進(jìn)行度量和管理已尤為重要。本文主要運(yùn)用FIGARCH-EVTCopula模型基于美元、歐元、日元和港幣兌人民幣匯率樣本數(shù)據(jù)對我國外匯投資組合風(fēng)險進(jìn)行測度研究。首先運(yùn)用經(jīng)典R/S分析和修正的R/S分析法檢驗(yàn)四種外匯波動率序列的長記憶性,結(jié)果表明:我國外匯市場波動率序列存在顯著的長記憶性特性,其中美元/人民幣波動率序列的長記憶性最強(qiáng),歐元/人民幣、日元/人民幣和港幣/人民幣的長記憶性強(qiáng)度依次遞減。針對四種外匯波動率序列的長記憶性特征,引入能準(zhǔn)確刻畫波動率長記憶性的FIGARCH模型,并結(jié)合能很好刻畫尾部風(fēng)險的極值理論,構(gòu)造出FIGARCH-EVT模型,同時引入傳統(tǒng)的多元正態(tài)Copula函數(shù)和多元t-Copula函數(shù),得到FIGARCHEVT-Copula模型。然后運(yùn)用該模型對四種外匯投資組合風(fēng)險進(jìn)行測度研究,進(jìn)一步計(jì)算出四種外匯在等權(quán)重投資下的風(fēng)險值,并與GARCH-EVT-Copula模型下的風(fēng)險值進(jìn)行對比發(fā)現(xiàn):在同一置信水平下,GARCH-EVT-Copula模型得到的風(fēng)險值都小于FIGARCH-EVT-Copula模型,說明GARCH-EVT-Copula模型低估外匯風(fēng)險,相對來說FIGARCH-EVT-Copula模型對于測度外匯投資組合風(fēng)險更準(zhǔn)確。為了更好地刻畫高維相關(guān)結(jié)構(gòu),本文在Copula函數(shù)的選取中,又引入了多元藤結(jié)構(gòu)Pair Copula,構(gòu)造出FIGARCH-EVT-Pair Copula模型。運(yùn)用該模型對四種外匯投資組合風(fēng)險進(jìn)行測度研究,計(jì)算出在風(fēng)險最小情況時,四種外匯的最優(yōu)投資比例以及相應(yīng)的組合風(fēng)險值。并將之與傳統(tǒng)的FIGARCH-EVT-t-Copula模型進(jìn)行對比發(fā)現(xiàn):在相同置信水平下,FIGARCH-EVT-Pair Copula模型得到的組合風(fēng)險值都高于FIGARCH-EVT-t-Copula模型;然后再運(yùn)用Kupiec和Christoffersen檢驗(yàn)法對上述兩種模型的VaR預(yù)測效果進(jìn)行穩(wěn)健性檢驗(yàn),檢驗(yàn)結(jié)果表明:在95%和99%置信水平下,FIGARCH-EVT-t-Copula模型不能通過穩(wěn)健性檢驗(yàn),而FIGARCH-EVT-Pair Copula模型則通過,進(jìn)而說明FIGARCH-EVT-Pair Copula模型在多元外匯投資組合風(fēng)險度量時比FIGARCH-EVT-Copula模型更具優(yōu)越性。同時還研究發(fā)現(xiàn)無論是哪種類型Copula函數(shù)的最小風(fēng)險投資組合系數(shù)相差都不是很大,目前外匯投資仍然集中在美元,其它外匯投資較少。本文運(yùn)用FIGARCH-EVT-Copula模型對外匯投資組合風(fēng)險進(jìn)行測度研究,為進(jìn)一步研究外匯投資組合風(fēng)險提供了一定的參考價值。
[Abstract]:With the RMB exchange rate system reform and the foreign exchange market mechanisms continue to improve, foreign investment has become an important after the stock investment after. In recent years, because the resources in different countries began to re allocation, exacerbated the frequent and the amplitude of fluctuation in the foreign exchange market, foreign exchange led to increasing the risk. The risk of China's foreign exchange market in the a background, and has been particularly important to measure and management. This paper uses the FIGARCH-EVTCopula model based on the US dollar, euro, yen and Renminbi exchange rate data measure research on Chinese foreign exchange investment portfolio risk. By using classical R/S analysis and modified R/S analysis method was used to test four kinds of foreign exchange volatility series long memory, the results show that the fluctuation of China's foreign exchange market rate series has long memory characteristic, the dollar / Renminbi volatility sequence length The strongest memory, EUR / RMB / yen, RMB and HKD / RMB long memory strength decreasing. According to the four kinds of foreign exchange volatility series of long memory characteristics, introduced FIGARCH model can accurately depict the volatility of long memory, and can well describe the tail risk of extreme value theory, construct FIGARCH-EVT at the same time, the introduction of the traditional model, the multivariate normal Copula function and multiple t-Copula function, FIGARCHEVT-Copula model. Then the model is used to measure research on four kinds of foreign exchange portfolio risk, further calculate four kinds of foreign exchange in the weight of investment risk and risk value, and the GARCH-EVT-Copula model were compared with values found in the a confidence level, the risk GARCH-EVT-Copula model obtained values are less than the FIGARCH-EVT-Copula model, GARCH-EVT-Copula model underestimated relative to foreign exchange risk FIGARCH-EVT-Copula model for foreign exchange portfolio risk measure more accurately. In order to better describe the high dimensional structure, this paper selected the Copula function, and introduced multiple rattan structure of Pair Copula, constructed FIGARCH-EVT-Pair Copula model. The model is used to measure research on four kinds of foreign exchange portfolio risk is calculated under the minimum risk when the four kinds of foreign exchange the optimal investment proportion of portfolio risk and corresponding value. And the FIGARCH-EVT-t-Copula model with the traditional comparison: in the same confidence level, the portfolio risk FIGARCH-EVT-Pair Copula model values are higher than the FIGARCH-EVT-t-Copula model; and then use the Kupiec test and Christoffersen of the two kinds of model VaR forecasting. For the robustness test, the test results show that: in the 95% and 99% confidence level, FIGARCH-EVT-t-Copula model Type not through the robust test, and the FIGARCH-EVT-Pair Copula model by FIGARCH-EVT-Pair, and that of Copula model in multi currency portfolio risk measurement model is more advantageous than FIGARCH-EVT-Copula. At the same time also found that either type of Copula function of the minimum risk portfolio coefficient difference is not great, the current foreign investment is still concentrated in the U.S. other foreign exchange, less investment. This paper uses the FIGARCH-EVT-Copula model of foreign exchange portfolio risk measure research, to provide a certain reference value for the further study of the risk of foreign exchange portfolio.

【學(xué)位授予單位】：重慶理工大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F224;F830.59

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