ساختار وابستگي و ريسك پرتفوي در بازار مبادلات ارز در ايران با روش GARCH-EVT-COPULA

Dependence structure and portfolio risk in Iran exchange market by using GARCH-EVT-Copula method

در اﯾﻦ ﭘﮋوﻫﺶ ﺑﻪ ﺗﺤﻘﯿﻖ و ﺑﺮرﺳﯽ ﺳﺎﺧﺘﺎر واﺑﺴﺘﮕﯽ و ﺑﺮآورد رﯾﺴﮏ ﭘﺮﺗﻔﻮي ﺑﺮ روي دادهﻫﺎي ﺑﺎزار ارز ﺧﺎرﺟﯽ در اﯾﺮان ﺑﺎ اﺳﺘﻔﺎده از روش 𝐺𝐴𝑅𝐶𝐻 − 𝐸𝑉𝑇 − 𝐶𝑂𝑃𝑈𝐿𝐴 ﭘﺮداﺧﺘﻪ ﻣﯽﺷﻮد. ﻣﺪلﻫﺎي 𝐺𝐴𝑅𝐶𝐻 − 𝐸𝑉𝑇 ﺑﺮاي ﺗﻮزﯾﻊ ﺣﺎﺷﯿﻪاي ﻫﺮ ﯾﮏ از 4 ﺳﺮي ﺑﺎزده ﻧﺮخ ارز ﺑﮑﺎر ﺑﺮده ﻣﯽﺷﻮد. ﺑﺮاي ﺗﻮزﯾﻊ ﺗﻮأم، ﻣﺎ 5 ﻣﺪل از ﺗﻮاﺑﻊ ﮐﺎﭘﻮﻻ ﺑﺎ ﺳﺎﺧﺘﺎر واﺑﺴﺘﮕﯽ ﻣﺨﺘﻠﻒ ﻣﺎﻧﻨﺪ ﮐﺎﭘﻮﻻي ﻓﺮاﻧﮏ، ﮐﻼﯾﺘﻮن، ﮔﺎﻣﺒﻞ، ﻧﺮﻣﺎل و ﺗﯽ- اﺳﺘﯿﻮدﻧﺖ را اﻧﺘﺨﺎب ﻧﻤﻮدﯾﻢ. در اﯾﻦ ﭘﮋوﻫﺶ رﯾﺴﮏ ﭘﺮﺗﻔﻮي ﺑﺎ اﺳﺘﻔﺎده از ﻣﻌﯿﺎر ارزش در ﻣﻌﺮض ﺧﻄﺮ و ارزش در ﻣﻌﺮض ﺧﻄﺮ ﺷﺮﻃﯽ اﻧﺪازهﮔﯿﺮي ﻣﯽﺷﻮد. ﻧﻤﻮﻧﻪ آﻣﺎري اﯾﻦ ﭘﮋوﻫﺶ ﺷﺎﻣﻞ ﻧﺮخ ارز روزاﻧﻪ ﺑﺎزار آزاد ارزﻫﺎي دﻻر آﻣﺮﯾﮑﺎ، ﯾﻮرو، ﭘﻮﻧﺪ اﻧﮕﻠﺴﺘﺎن و درﻫﻢ اﻣﺎرات ﺑﺎ 5 روز ﮐﺎري از ﺷﻬﺮﯾﻮر ﻣﺎه ﺳﺎل 1391 ﺗﺎ اﻧﺘﻬﺎي ﺳﺎل 1396 ﻣﯽﺑﺎﺷﺪ. ﺑﺮ اﺳﺎس ﻧﺘﺎﯾﺞ ﺣﺎﺻﻞ از ﭘﮋوﻫﺶ، ﺑﺎ اﺳﺘﻔﺎده از ﻣﻘﺎدﯾﺮ ﻣﻌﯿﺎر اﻃﻼﻋﺎت آﮐﺎﺋﯿﮏ، ﺗﺎﺑﻊ ﺗﯽ-اﺳﺘﻮدﻧﺖ ﺑﻬﺘﺮﯾﻦ ﻣﺪل ﺑﺮازش ﺷﺪهي ﮐﺎﭘﻮﻻ ﺑﺮاي ﺑﺮرﺳﯽ ﺳﺎﺧﺘﺎر واﺑﺴﺘﮕﯽ ﻣﯽﺑﺎﺷﺪ. ﻧﺮخﻫﺎي ارز داراي واﺑﺴﺘﮕﯽ دﻧﺒﺎﻟﻪ ﺑﺎﻻﯾﯽ و ﭘﺎﯾﯿﻨﯽ ﯾﮑﺴﺎﻧﯽ ﻫﺴﺘﻨﺪ. ﺑﺮ اﯾﻦ اﺳﺎس در ﺑﺎزارﻫﺎي روﻧﻖ )ﻣﺜﺒﺖ ﺷﺪﯾﺪ( و رﮐﻮد )ﻣﻨﻔﯽ ﺷﺪﯾﺪ(، واﺑﺴﺘﮕﯽ ﺑﯿﻦ ﻫﺮ دو ﻧﺮخ ارز ﯾﮑﺴﺎن اﺳﺖ.

In this research, the GARCH-EVT-COPULA method is investigated to determine the dependency structure and portfolio risk estimation on the foreign exchange market data in Iran. GARCH-EVT models are used to mariginal distribution of each of four currency returns series. For the joint model, we choose five copuls with different dependence structure such as Frank, Clayton, Gumble, Normal and t-Student copulas. In this research portfolio risk is measured using VaR and CVaR. The statistical sample of this study is the daily exchange rate of USD,EURO, Pound and AED for the free market with 5 working days from September to the end of 1396. Based on the results of the research, using the Akaike information criterion values, the t-student function is the best fitted copula model for investigating the dependency structure. Exchange rates have the same upper and lower tail dependencies. Accordingly, in the markets for boom (severe positive) and stagnation (severe negative), the dependence between the two exchange rates is the same