This paper undertakes an in‐sample and rolling‐window comparative analysis of dependence, market, and portfolio investment risks on a 10‐year global index portfolio of developed, emerging, and commodity markets. We draw our empirical results by fitting vine copulas (e.g., r‐vines, c‐vines, d‐vines), IGARCH(1,1) RiskMetrics value‐at‐risk (VaR), and portfolio optimization methods based on risk measures such as the variance, conditional value‐at‐risk, conditional drawdown‐at‐risk, minimizing regret (Minimax), and mean absolute deviation. The empirical results indicate that all international indices tend to correlate strongly in the negative tail of the return distribution; however, emerging markets, relative to developed and commodity markets, exhibit greater dependence, market, and portfolio investment risks. The portfolio optimization shows a clear preference towards the gold commodity for investment, while Japan and Canada are found to have the highest and lowest market risk, respectively. The vine copula analysis identifies symmetry in the dependence dynamics of the global index portfolio modeled. Large VaR diversification benefits are produced at the 95% and 99% confidence levels by the modeled international index portfolio. The empirical results may appeal to international portfolio investors and risk managers for advanced portfolio management, hedging, and risk forecasting.

中文翻译：

---

全球指数组合的依赖、市场和投资风险预测

本文对发达市场、新兴市场和大宗商品市场的 10 年期全球指数投资组合的依赖性、市场和证券投资风险进行了样本内和滚动窗口比较分析。我们通过拟合 vine copulas（例如，r-vines、c-vines、d-vines）、IGARCH(1,1) RiskMetrics 风险价值 (VaR) 和基于风险度量的投资组合优化方法得出我们的实证结果，例如作为方差、条件风险价值、条件风险回撤、最小化后悔（Minimax）和平均绝对偏差。实证结果表明，所有国际指数在收益分布的负尾上都具有很强的相关性；然而，相对于发达市场和商品市场，新兴市场表现出更大的依赖性、市场和证券投资风险。投资组合优化显示出对黄金商品的明显投资偏好，而日本和加拿大分别具有最高和最低的市场风险。vine copula 分析确定了建模的全球指数投资组合的依赖动态中的对称性。模型化的国际指数投资组合在 95% 和 99% 的置信水平下产生了巨大的 VaR 多元化收益。实证结果可能会吸引国际投资组合投资者和风险经理进行高级投资组合管理、对冲和风险预测。模型化的国际指数投资组合在 95% 和 99% 的置信水平下产生了巨大的 VaR 多元化收益。实证结果可能会吸引国际投资组合投资者和风险经理进行高级投资组合管理、对冲和风险预测。模型化的国际指数投资组合在 95% 和 99% 的置信水平下产生了巨大的 VaR 多元化收益。实证结果可能会吸引国际投资组合投资者和风险经理进行高级投资组合管理、对冲和风险预测。