本文應用GJR-GARCH-Copula模型來評探討金磚國家投資組合風險值,以及金磚五國的投資組合是否能在近幾年全球金融環境劇烈變化下,還能持續提供穩定的合理報酬,研究選取金磚五國中最具代表性的指數。本文也透過加入copula模型來做金磚五國投資組合風險值的探討與衡量標準,進一步希望能夠得到較精確的風險值估計。 研究結果發現: 一、透過GARCH模型檢測本研究中的金磚國家投資組合相關性高,且在全球金融海嘯後,各國的相關性有所上升。 二、GARCH-Copula模型不論在全樣本或是在全球金融海嘯後,在顯著水準99%下的Student's t Copula較為合理的估計風險值結果,也優於傳統變異數-共變數模型。由於投資組合報酬呈現非常態且非線性,故比起傳統線性結構,非線性比較能提供相對合理的風險值。
This study uses the GJR-GARCH-Copula model to evaluate the risk value of investment portfolios in BRICS and whether the investment portfolio of BRICS can continue to provide stable and reasonable remuneration under the dramatic changes in the global financial environment in recent years. The most representative index among the five BRICS is selected. This paper also discusses and measures the risk value of BRICS portfolios by adding the copula model, and further hopes to obtain more accurate risk value estimates. 1.Detection of the investment portfolio of the BRICS in this study through the GARCH model is highly relevant, and after the global financial tsunami, the correlation between countries has increased. 2.The GARCH-Copula model is better than the traditional variation-covariation model in all samples or after the global financial tsunami, the Student's t Copula at a significant level of 99% is a reasonable estimate of the risk value.