Multivariate Time-Varying Copula GARCH Model and Its Application in the Financial Market Risk Measurement

Table 7

VaR estimation results based on the four-variate time-varying G-H Copula GARCH model with SSCI, HSI, TAIEX, and SP500.

Ratio of index portfolio	1%	5%	10%	15%	Ratio of index portfolio	1%	5%	10%	15%
0.25 : 0.25 : 0.25 : 0.25	−0.0303	−0.0165	−0.0116	−0.0086	0.25 : 0.25 : 0.25 : 0.25	−0.0303	−0.0165	−0.0116	−0.0086
0.50 : 0.00 : 0.25 : 0.25					0.25 : 0.50 : 0.00 : 0.25
0.75 : 0.00 : 0.00 : 0.25					0.25 : 0.75 : 0.00 : 0.00
1.00 : 0.00 : 0.00 : 0.00					0.00 : 1.00 : 0.00 : 0.00
0.25 : 0.25 : 0.25 : 0.25	−0.0303	−0.0165	−0.0116	−0.0086	0.25 : 0.25 : 0.25 : 0.25	−0.0303	−0.0165	−0.0116	−0.0086
0.25 : 0.25 : 0.50 : 0.00					0.00 : 0.25 : 0.50 : 0.50
0.00 : 0.25 : 0.75 : 0.00					0.00 : 0.00 : 0.25 : 0.75
0.00 : 0.00 : 1.00 : 0.00					0.00 : 0.00 : 0.00 : 1.00

Note: the ratio of index portfolio is ranked by the sequence of SSCI : HSI : TAIEX : SP500 in Table 7.