基于GARCH-COPULA模型的二元资产投资风险管理分析

发布时间：2018-01-17 23:04

本文关键词：基于GARCH-COPULA模型的二元资产投资风险管理分析　出处：《天津大学》2014年硕士论文　论文类型：学位论文

【摘要】：经济全球化的高速发展，，一方面为全球的投资者带来了更多的投资机会和更加便利的投资环境；另一方面经济全球化加速了资金在全球的自由流动，助涨了投机行为，增加了投资者的投资风险，尤其对于中国这样的发展中国家，由于参与世界经济博弈的经验尚浅，因此中国的投资者在很多投资领域不得不面临着更大的挑战，其中比较重要的就是黄金和石油市场。黄金和石油是两种重要的大宗商品，黄金具有商品和货币双重性质，这一特性决定了它在大宗商品投资领域的重要地位，石油是一国经济发展的血液，对一个国家具有重要的战略意义，因此有必要研究黄金和石油的投资风险，为机构投资者在进行投资决策时提供一些定量参考信息。首先，本文对黄金和石油序列进行了简单的描述性统计，发现黄金价格在近20年中呈现出整体上升，局部小震荡的态势，石油价格呈现出或大或小的波动态势。进一步对黄金和石油的收益率进行分析，发现收益率均具有尖峰厚尾的特性，因此用GARCH模型拟合黄金和石油收益率的边缘分布。其次，本文运用参数VaR法对黄金和石油收益率的风险价值进行定量分析。结果表明：石油比黄金的投资风险要大，而且在一定时间区间内，石油的风险价值波动幅度也较大，但是石油的平均收益率要高于黄金。可见，高收益伴随着高风险。最后，本文运用Copula理论和蒙特卡洛模拟法对黄金和石油投资组合进行风险价值计算。结果发现：黄金和石油投资组合是有效的，该投资组合的风险介于风险较小的黄金和风险较大的石油之间，而且投资组合的风险小于两种资产风险的平均值，从而说明：在黄金和石油风险不一的情况下，可以将这两种资产进行组合投资，这样既能够有效地降低整体投资风险，又能够分享高风险石油资产所带来的较高收益。
[Abstract]:The rapid development of economic globalization, on the one hand, has brought more investment opportunities and more convenient investment environment for global investors; On the other hand, economic globalization has accelerated the free flow of money around the world, helped to increase speculation and increased the investment risk of investors, especially for developing countries such as China. Since the experience of participating in the world economic game is still shallow, Chinese investors have to face greater challenges in many fields of investment, the more important of which are the gold and oil markets. Gold and oil are two important commodities. Gold has the dual nature of commodity and currency, which determines its important position in the field of commodity investment. Oil is the blood of a country's economic development. It is of great strategic significance to a country, so it is necessary to study the investment risk of gold and oil, and provide some quantitative reference information for institutional investors to make investment decisions. First of all, this paper carries on the simple descriptive statistics to the gold and the petroleum sequence, found that the gold price in the recent 20 years presents the overall rise, the partial small oscillation situation. Oil prices show large or small fluctuations. Further analysis of gold and oil yield shows that the yield has the characteristics of peak and thick tail. So the GARCH model is used to fit the marginal distribution of gold and oil yield. Secondly, the paper uses the parameter VaR method to quantitatively analyze the risk value of gold and oil yield. The results show that the investment risk of oil is greater than that of gold, and in a certain time range. The risk value of oil fluctuates greatly, but the average yield of oil is higher than that of gold. Finally, the paper uses Copula theory and Monte Carlo simulation method to calculate the risk value of gold and oil portfolio. The results show that gold and oil portfolio is effective. The risk of the portfolio is between the less risky gold and the riskier oil, and the risk of the portfolio is less than the average of the two asset risks, which shows that: in the case of gold and oil risks are different. These two kinds of assets can be combined to reduce the overall investment risk and share the higher income from the high risk oil assets.
【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F416.22;F831.54;F224

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