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Measuring Systemic Risk: Vine Copula- GARCH Model
| Content Provider | Semantic Scholar |
|---|---|
| Author | Chen, Kuan-Heng Khashanah, Khaldoun |
| Copyright Year | 2015 |
| Abstract | We analyze each U.S. Equity sector's risk contribution ΔVaR, the difference between the Value-at-Risk of a sector and the Value-at-Risk of the system (S&P 500 Index), by using vine Copula-based ARMA-GARCH (1, 1) modeling. Vine copula modeling not only has the advantage of extending to higher dimensions easily, but also provides a more flexible measure to capture an asymmetric dependence among assets. We investigate systemic risk in 10 S&P 500 sector indices in the U.S. stock market by forecasting one-day ahead Copula VaR and Copula ΔVaR during the 2008 financial subprime crisis. Our evidence reveals vine Copula-based ARMA-GARCH (1, 1) is the appropriate model to forecast and analyze systemic risk. Index Terms—Copula, Time Series, GARCH, Systemic Risk, VaR |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://www.iaeng.org/publication/WCECS2015/WCECS2015_pp884-889.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
