Blue Chip Portfolio Risk Measurement Based On Vine Copula Model

In view of the gradual maturity of China's stock market,people's enthusiasm for investing in stocks is also rising,but we should realize that the stock market has a great risk,and it requires great care to enter the market.In the event of the stock market crash in 2015,most investors lost their operational capital.So for people who invest,how should they choose more effective investment methods to reduce the occurrence of such things? Undoubtedly,it is very important to measure the risk of the portfolio effectively and select the investment target rationally.On the basis of R-vine copula model,this paper introduces the mean-variance model to solve the problem of investment weight selection,depicts the risk correlation among blue-chip stocks,and measures the portfolio risk of blue-chip stocks with Monte Carlo simulation.In this paper,the daily closing price of stocks in the eight major industries of bank,insurance,securities,real estate,petroleum,non-ferrous metals,coal and automobile is taken as the research objective.Firstly,the EGARCH(1,1)model is used to characterize the return series of eight major industry indices with the characteristics of peak,thick tail and volatility aggregation,and the heteroscedasticity of eight series is eliminated.The parameters of the EGARCH(1,1)model of eight blue-chip industries are obtained by parameter estimation.By observing these parameters,we can know that,at the confidence level of 10%,banks,insurance,securities and housing are the main components of the model.Production and non-ferrous leverage effect is not very significant,but the leverage effect of the automotive industry is relatively strong,and these eight industry indices are asymmetric.Next,by examining the standardized residuals obtained from the EGARCH(1,1)model,it is found that the distribution of standardized residuals in eight industries of blue-chip stocks does not belong to the normal distribution.Therefore,this paper describes the tail distribution characteristics of standardized residuals in each industry of blue-chip stocks through the GPD distribution of extreme value theory(EVT).It is found that banking,securities,real estate and automobile industries have the characteristics of short tail at the top and heavy tail at the bottom.Insurance,coal,petroleum and non-ferrous industries all have thick tail,and ultimately standardize the marginal distribution model of residual.Thirdly,according to R-vine copula,the risk correlation among the eight major industries of blue-chip stocks is depicted,and the relevant structure is different under different conditions.The higher the level of R-vine structure tree,the smaller the correlation coefficient between each industry.That is to say,the weaker the correlation between Chinese blue-chip stocks is.When investing,the blue-chip stocks in each industry will fall at the same time.The risk of falling will become smaller.In the process of investment,we should choose as many stocks as possible to invest in several industries,so as to better avoid the risk.Finally,the weight of the portfolio is calculated by means of the mean-variance model,and the risk value of the portfolio under the R-vine copula model is obtained by Monte Carlo simulation.Moreover,the utility frontier graph can also intuitively show that the portfolio risk value measured by the model is smaller than that of the mean-variance model,which also provides a better method for the risk measurement of blue-chip portfolio.