Simulation of VaR Based on Monte Carlo-Copula - GARCH Model

DOI

10.2991/icesame-17.2017.421How to use a DOI?

Keywords

Monte Carlo simulation, Copula, GARCH, Var, Security

Abstract

In this paper, Monte Carlo method is used to establish the model of China's CITIC Securities and Huatai Securities for three years, and to test the accuracy of the model. Considering the non-normality of the distribution of the return rate of China's securities market, a GARCH model which can describe the spike and tail feature of variance and response rate distribution is used. The Monte Carlo algorithm is also improved by combining Copula function to compare.

Copyright

© 2017, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Yangfan Ren
PY  - 2017/06
DA  - 2017/06
TI  - Simulation of VaR Based on Monte Carlo-Copula - GARCH Model
BT  - Proceedings of the 2017 2nd International Conference on Education, Sports, Arts and Management Engineering (ICESAME 2017)
PB  - Atlantis Press
SP  - 1991
EP  - 1996
SN  - 2352-5398
UR  - https://doi.org/10.2991/icesame-17.2017.421
DO  - 10.2991/icesame-17.2017.421
ID  - Ren2017/06
ER  -