Sains Malaysiana 40(8)(2011): 927–935
Tail Dependence Estimate in Financial Market Risk
Management:
Clayton-Gumbel Copula Approach
(Nilai Kebersandaran
Ekor Bagi Anggaran Dalam Pengurusan Risiko Pasaran
Kewangan: Pendekatan
Clayton-Gumbel Copula)
A.
Ahmed
Shamiri*, N.A. Hamzah & A. Pirmoradian
Institute of
Mathematical Sciences, Faculty of Science, Univeristy of Malaya
50603 Kuala
Lumpur, Malaysia
Diserahkan: 20
Mei 2010 /Diterima: 10 November 2010
ABSTRACT
This paper focuses on
measuring risk due to extreme events going beyond the multivariate normal
distribution of joint returns. The concept of tail dependence has been found
useful as a tool to describe dependence between extreme data in finance.
Specifically, we adopted a multivariate Copula-EGARCH approach
in order to investigate the presence of conditional dependence between
international financial markets. In addition, we proposed a mixed
Clayton-Gumbel copula with estimators for measuring both, the upper and lower
tail dependence. The results showed significant dependence for Singapore and
Malaysia as well as for Singapore and US, while the dependence for
Malaysia and US was relatively weak.
Keywords: Copulas; EGARCH model; risk measures; tail dependence
ABSTRAK
Kajian ini menumpu kepada pengukuran
risiko yang disebabkan oleh kejadian ekstrim yang berlaku di luar batasan
taburan multivariat normal bagi pulangan bercantum. Konsep kebersandaran ekor
telah didapati berguna sebagai alat bagi menerangkan kebersandaran di kalangan
data ekstrim dalam kewangan. Secara spesifik, kami mengadaptasi pendekatan
multivariate Copula-EGARCH untuk mengkaji kewujudan
kebersandaran bersyarat antara pasaran kewangan antarabangsa. Kami juga
mencadangkan campuran copula Clayton-Gumbel dengan penganggar bagi mengukur
kedua-dua had atas dan bawah ekor kebersandaran. Keputusan kajian ini
menunjukkan kebersandaran yang signifikan antara Singapura-Malaysia serta
Singapura-Amerika Syarikat, manakala kebersandaran untuk Malaysia-Amerika
Syarikat adalah lemah secara relatif.
Kata kunci: Copula; kebersandaran ekor; model EGARCH;
ukuran risiko
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*Pengarang untuk surat-menyurat; email: ahmed_shamir@um.edu.my
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