Distribution Characteristics of Multivariate Financial Assets Return based on Mathematical Model

Abstract

For the non-normality and time variability of the distribution of multivariate financial assets return, a dynamic model of the distribution of multivariate financial assets return based on mathematical model is constructed in this paper.AR(1)-DCC(1,1)-GARCH(1,1) model reflects dynamic characteristics of conditional expectation and conditional variance of multivariate financial assets return.It solves the problem that restricts the in-depth researchon high order dynamic portfolio optimization, which is the estimation of conditional coskewness matrix and conditional cokurtosis matrix. By constructing a multi-dimensional fluctuation model with biased t distribution, conditional asymmetric parameter and conditional free degree parameter, the distribution of multivariate financial assets return is researched. Experimental results show that the proposed model can reasonably reflect the time-varying characteristics of the multivariate stock return distribution in China’s stock market.