March 2022
Intermediate to advanced
294 pages
16h 47m
English
School of Economics and Management, Nanjing University of Science and Technology, Nanjing, China
ABSTRACT: The GARCH-EVT-copula model can fit the finance asset time series better, which has the peak and thick tail of the series, and can accurately describe the complex correlation among the time series of financial assets. This paper, we choose the daily closing price of Wind's first-level industry index from January 1, 2010 to May 31, 2021, and calculate the daily return rate of the industrial index. We calculate the value at risk (VaR) of the industry index by the GARCH-EVT-copula model, and ...