Research On Relevance Risk Of ETF Fund Based On Copula-GARCH Model

With the continuous development and change of the financial market,since the launch of the first ETF in China in 2004,ETF funds have developed rapidly,and the scale and types of ETF funds have also increased.The research on portfolio investment has become a hot issue and its financial The accurate measurement of risks has become a necessary condition for investors to effectively avoid risks,effectively monitor the market for regulators,and maintain the stability of financial markets.Therefore,its research has important theoretical and practical significance.In this paper,the risk of ETF fund portfolio is studied by combining the relevance of ETF funds.The model mainly uses GARCH model to fit the fluctuation of financial time series,and then uses Copula function to fit the portfolio.The joint distribution function of the Monte Carlo method is used to calculate VaR.Specifically,the portfolios of China ETF 50 ETF,Huatai Bairui 300 ETF and Cathay Pacific Shanghai 5-year Treasury ETF Three ETF Funds are selected.They are pure ETF portfolios and hybrid stocks and bonds.The ETF combination uses the GARCH model to fit the volatility of the three ETF funds,and uses the Copula function to establish the joint distribution function of the two ETF fund portfolios respectively,obtain the correlation coefficients,compare the correlations within the portfolio,and measure the two respectively.The portfolio's value of risk is combined with the correlation coefficient for comparative analysis.Through empirical research,the correlations between the China Stock Exchange 50 ETF and the Huatai Perry CSI 300 ETF are relatively strong and positively correlated,and the value of the risks is relatively large.The comparison finds that under various weights China China SSE 50 ETF and Cathay Pacific Shanghai 5-year Treasury bonds The risk value of both ETFs is lower than the risk levels of China Huaxia SSE 50 ETF and Huatai Bairui CSI 300 ETF at the same confidence level,and the correlation is relatively small.Obviously,the ETF combination of equity-debt hybrid ETFs The risks are smaller than the pure equity ETFs.There are different types of the two types of portfolios and the correlations are also quite different.It is not difficult to conclude that the choice of assets and the proportion of assets are very important factors in portfolio investment.The result of the research is also Contrary to reality.Although the ETF funds market in our country has been continuously improved and developed,ETF fund portfolio investment also faces many problems.For example,the type of ETF funds is not rich enough,the types are single,and most of them are equity-type.The risks are high,the management and operation costs are high,and the institutional investors are less Wait.Finally,based on the empirical analysis,this paper points out the main existing problems and gives corresponding policy recommendations.