The Research on Portfolio Risk Measurement Based on FIGARCH-EVT-Copula

It is well known that financial equity has sharp-peaks, fat-tails, heteroskedasticity and long memory. Considering these three features,this article constructs a risk measure model based on the FIGARCH-EVT-Copula for financial portfolio. The VaR and ES risk measure based on the FIGARCH-EVT-Copula is applied on the portfolio, which is composed by Shanghai Stock index and Shenzhen Component Index equal weight. The empirical results show that there is apparent long memory property in Chinese stock market. The results also show that, the model of FIGARCH-EVT-Copula really can capture the properties of sharp-peaks, fat-tails, heteroskedasticity and long memory, and proves that the model of FIGARCH-EVT-Copula is more efficiency than traditional model in measure the portfolio risk whose marginal distribution has the property of long memory.