基于Copula-SV-t模型的沪深300期现相关性分析  

Dependence Analysis of CSI 300 Index and Futures Based on Copula-SV-t Model

作　　者：李璁[1] 陈荣达[1] 

机构地区：[1]浙江财经学院金融学院,浙江杭州310018

出　　处：《数学的实践与认识》2011年第16期10-16,共7页Mathematics in Practice and Theory

基　　金：浙江省大学生科技创新活动计划;国家自然科学基金(70771099)

摘　　要：结合SV-t模型和Copula模型,建立两变量金融时间序列的Copula-SV-t模型,并以刚刚上市交易的我国沪深300期货市场和其现货指数为例利用建立的模型进行相关程度和相关模式的分析,根据采用不同的Archimedean Copula函数,通过平方欧式距离评价Copula函数的拟合度.结果表明,股指期现市场之间存在条件正相关关系,且存在非对称的尾部相关关系,上尾部的相关性要强于下尾部的相关性,即期货市场的助涨效应要强于助跌效应.This paper sets up a bivariate financial time series model combined SV-t model with Copula model and makes empirical analysis on CSI 300 index and futures. According to different Archimedean Copula functions, it evaluates the goodness of fit of Copulas by Squared Euclidean distance. The results show that there are a positive correlation between CSI 300 index and futures and asymmetric relationship between the tails. Moreover, on the tail end of the correlation is stronger than the correlation under. In other words, the futures market helps to rise more than to decline.

关 键 词：COPULA函数 SV-t模型 K—S检验 沪深300 

分 类 号：F224[经济管理—国民经济] F832.51