基于ARMA-GARCH-COUPULA模型的交易量与股价波动相依关系  

The Dependence Relationship between the Volume and the Price Volatility based on ARMA-GARCH-COPULA Model

作　　者：易文德[1] 

机构地区：[1]重庆文理学院数据分析与图像处理重点实验室,重庆402160

出　　处：《系统管理学报》2012年第5期696-703,共8页Journal of Systems & Management

基　　金：国家自然科学基金资助项目(71271227);国家社会科学基金资助项目(11BJY058);教育部人文社会科学研究项目(11XJC790004;09YJCZH104);重庆市教育委员会科学技术研究项目(KJ111211)

摘　　要：股市交易量与股价变化的相依关系一直是学术研究和投资分析人士所研究并希望解决的问题。研究交易量与股价的相依关系不仅要研究它们之间的相依程度而且还要研究它们之间的相依结构。提出了ARMA-GARCH-Copula函数模型,研究了3个股票市场的日指数对数极差与交易量对数的相依程度和相依结构。研究发现:ARMA-GARCH-Copula函数模型在刻画日指数对数极差与交易量对数之间的相依结构时通过假设检验,日指数对数极差与交易量对数之间存在较强的正相依关系,且具有上尾高、下尾低的非对称的相依现象。The dependence relationship between the trade volume and the stock price volatility is a long standing problem which both academics and investors would like to understand and resolve. It is necessary not only to study the degree of dependence but also to investigate the structure of dependence between the trade volume and the stock price volatility. In this paper, an ARMA GARCH-Copula model is proposed to investigate the measure and the structure of dependence between the difference of stock daily price index logarithmic extremum and the trade volume logarithm in three stock markets. The results show that ARMA GARCH-CopuIa model is accepted in the test of the model which describes the dependence structure, and there is a strong positive dependence and an asymmetrical dependence phenomena of higher upper tail and lower tail between the difference of stock daily price index logarithmic extremum and the trade volume logarithm.

关 键 词：COPULA函数 相依结构 交易量 波动性 

分 类 号：O212[理学—概率论与数理统计]