Risk Analysis of Portfolio by Copula GARCH
Wu Zhen · Systems Engineering - Theory & Practice · 2006
Copula can describe the dependency structure of multi dimension random variable.In this paper,Copula and the forecast function of GARCH model are well combined,and a Copula Garch model is built for risk analysis of portfolio investment.By this model,empirical portfolio risk analysis is made in Chinese stock market.At last,the mini risk portfolio is given.