مدلسازی وابستگی بین بازدهی سهام گروه محصولات شیمیایی، رشد قیمت نفت و رشد نرخ ارز در ایران؛ کاربرد توابع Vine Copula

نویسندگان
1 دانشگاه خوارزمی
2 دانشکده مهندسی مالی- دانشگاه آزاد اسلامی واحد تهران جنوب
چکیده
هدف اصلی این پژوهش، مدل‌سازی وابستگی بین بازدهی سهام گروه محصولات شیمیایی، رشد قیمت نفت و رشد نرخ ارز در ایران و محاسبه ارزش در معرض ریسک است. برای این منظور از تئوری توابع کاپولا درختی که در ادبیات مالی یکی از کاراترین روش­ها برای بررسی ساختار وابستگی است، استفاده شده است. علاوه بر نشان دادن وابستگی خطی بین بازارهای مالی در ایران، ساختار وابستگی غیر خطی این بازارها نیز برآورد شده و وابستگی به دُم بالایی و یا پایینی آنها مشخص شده است. دوره مورد بررسی شامل داده‌های روزانه (روزهای کاری مشترک) از اول آذر سال 1387 تا انتهای خرداد سال 1398 می­باشد. در مدلسازی توزیع‌های حاشیه‌ای از مدل‌های GJR-GARCH استفاده شده که پس از آن با استفاده از رهیافت Copula-GARCH به بررسی ساختارهای وابستگی و نیز محاسبه ارزش در معرض ریسک متغیرهای تحقیق پرداخته شده است و در نهایت پس‌آزمایی لازم بر اساس معیار تابع زیان انجام شده است. یافته‌های پژوهش نشان می‌دهد، هر دو جفت از بازدهی‌های مدل‌سازی شده وابستگی یکسانی به دنباله­ بالایی و پایینی دارد. بین بازدهی سهام گروه محصولات شیمیایی و رشد نرخ ارز به شرط رشد قیمت نفت خام وابستگی ساختاری مشخصی بر اساس توابع کاپولای واین در دنباله‌های توزیع وجود دارد که نشان دهنده سرایت بین بازار محصولات شیمیایی و نرخ ارز است. همچنین، بین بازده سهام گروه محصولات شیمیایی و رشد قیمت نفت خام به شرط رشد نرخ ارز وابستگی ساختاری مشخصی بر اساس توابع کاپولای واین در دنباله‌های توزیع وجود دارد که نشان دهنده سرایت بین بازار محصولات شیمیایی و نفت خام است. با توجه به اینکه سرایت نوسان منشاء اصلی ریسک مالی است، لحاظ وابستگی ساختاری بر اساس توابع کاپولای واین می‌تواند برآورد قابل اعتمادی از ریسک پرتفوی بر اساس معیار ارزش در معرض ریسک فراهم آورد
کلیدواژه‌ها

عنوان مقاله English

Modeling the Dependency Structure between Stocks of Chemical Products Return, Oil Price and Exchange Rate Growth in Iran; an Application of Vine Copula

نویسندگان English

Mohammad Sayadi 1
Nasim Karimi 2
1 Kharazmi University
2 Islamic Azad University
چکیده English

The main objective of this study is modeling the dependency structure between the returns of oil markets, exchange rate and stocks of chemical products in Iran. For this purpose, the theory of Vine Copula functions is used to investigate the dependency structure. In addition to consider a linear relationship between financial markets in Iran, the nonlinear dependency structure of these markets is also estimated, and their dependence on their upper or lower tails is determined. The study period includes daily data (5 working days) from December 2008 to July 2017. Modeling of marginal distributions of GJR-GARCH models has been used. Then, using the Copula-GARCH approach, the structure of dependency between returns and the calculating of the Value at Risk (VaR) of crude oil, exchange rate and stock of the chemical product group returns have been investigated. Finally, the required back-test is performed on the basis of the loss function. The study findings show that both pairs of modeling returns are related to the same upper and lower tails. In addition, there is a same structural dependency on the distribution of the vine copula between the indexes of chemical products and the nominal exchange rate on the condition of the price of crude oil, which indicates the spillover between markets. Due to that spillover effect is the main source of financial risk, the structural dependence on the basis of vine copula functions makes accurate and reliable calculation of portfolio risk based on the VaR criterion.

کلیدواژه‌ها English

Value at Risk
Vine Copula
Risk Spillover
Back-Testing
Dependence Structure
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