Analysis of portfolio VaR by pair copula-LMSV-t

The LMSV-t model was adopted to estimate the marginal distribution, instead of the GARCH model, which has been adopted before, and the pair copula-LMSV-t model was constructed. Furthermore, the method for parameter estimation of LMSV-t by MCMC was offered. An empirical example with the open-end fund's data demonstrates the superiority of the LMSV-t model in describing the volatility and long memory of asset's return. Using the LMSV-t model as the description of the marginal distribution, the pair copula-LMSV-t model has better performance in the analysis of portfolio VaR.