| Summary: | 碩士 === 國立政治大學 === 風險管理與保險研究所 === 102 === Some empirical studies have showed that returns of some stocks are distributed in a non-Normal way, being asymmetric or even leptokurtic which indicates equity returns are negatively skewed and fat tails. In Riccetti , a copula–GARCH model is applied and can be useful in a macro asset allocation model including bonds and stocks. And Claudia Czado et al. even suggested that multivariate copulas provide more flexibility in dependency structure than some of asset model, vine copulas which are built from bivariate copulas can even be ordered and chosen individually according to their influences under class of mixed C-vine copulas.
Hence we apply skewed t GARCH model for negatively skewed and fat tails returns and time varying vine copula model to measure conditional dependence under class of mixed Regular vine copulas for the dynamic asset allocation of portfolios containing ten different indices in America with nearly ten years historical data, compared with multivariate normal asset model. The use of Copulas makes it possible to separate the dependence model from the marginal distributions.
We find that the copula model appears to be useful better than the multivariate normal one for the dynamic asset allocation in our empirical result, even if it is not dominantly better than other asset models, performance of vine-copula asset model would have lower empirical volatility.
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