A Study On The Correlation And VaR Of Returns Between The Pharmaceutical Industry And The Shanghai Stock Exchange Index Based On The Time-varying Copula Function

In this paper,the correlation between the logarithmic return rate of SSE index and the logarithmic return rate of pharmaceutical industry index represented by Shenzhen Pharmaceutical 50,Shenzhen Pharmaceutical Industry Index and SSE Pharmaceutical Industry Index was studied.This paper mainly studies the correlation between static Copula model and time-varying Copula model based on Patton,Gas and DCC theory,and simulates and analyzes the risk of portfolio return rate by Monte Carlo simulation method.In this paper,AMRA-GARCH-GED model and ARMA-IGARCH-STD model were used to fit the edge distribution of logarithmic return series and SZHC50 index time series,and the established Copula model was estimated by two-stage maximum likelihood estimation.The Copula function with the best fitting effect was selected according to AIC criterion.The results show that the gas-based Copula model has the best correlation fitting effect for the four logarithmic return series.According to the Kupiec failure rate test results,at three confidence levels(99%,95%and 90%),the static Copula model,the Patton-based Copula model,the GAS theory based Copula model and the DCC Copula model all have the robustness and reliability of the sample measure.It can better fit the volatility of the portfolio risk.In summary,at the 95%confidence level,the time-varying Copula model based on GAS theory can measure the VaR value of the portfolio better than other models.