基于Archimedean Copula-EGARCH模型对我国股票市场的相关性研究  

Correlation study of China’s stock markets based on Archimedean Copula-EGARCH model

作　　者：王善培 李兴东[1] WANG Shan-pei;LI Xing-dong(School of Mathematics and Physics,Lanzhou Jiaotong University,Lanzhou 730070,China)

机构地区：[1]兰州交通大学数理学院,甘肃兰州730070

出　　处：《陕西理工大学学报（自然科学版）》2021年第2期87-92,共6页Journal of Shaanxi University of Technology:Natural Science Edition

基　　金：国家自然科学基金资助项目(61663018);甘肃省高等教育教学成果培育项目。

摘　　要：构造Archimedean Copula-EGARCH混合模型对我国金融市场中上证综合指数和创业板指数、上证综合指数和中小板指数的相关性及深圳成分指数和创业板指数、深圳成分指数和中小板指数的相关性进行分析。利用EGARCH-t模型构造了Copula函数的边缘分布,发现了创业板、中小板指数收益率与上证、深证指数收益率之间存在杠杆性,即负向冲击对未来波动的影响大于正向冲击的影响。通过平方欧式距离方法从Archimedean Copula函数中选择出拟合度较优的函数,再根据尾部相关性来判断它们之间的关系强弱。研究发现了创业板、中小板与上证、深证之间呈正相关关系,但当上证、深证下跌时对中小板、创业板的冲击更大,同时相比与上证的尾部关系,创业板、中小板与深证具有更厚的尾部关系,即深证对创业板、中小板的影响力更大。In this paper,the Archimedean Copula-EGARCH hybrid model is constructed to analyze the correlation between the SSE Composite Index and the GEM index,the SSE Composite Index and the SME Board index,and the correlation between the Shenzhen component Index and the GEM index,the Shenzhen component index and the SME Board index in China’s financial market.The EGARCH-t model is used to construct the edge distribution of Copula function,and it is found that there is leverage between the return rate of the index on the GEM and SME board and the return rate of the index on the Shanghai Stock Exchange and Shenzhen Stock Exchange,that is,the negative impact on the future volatility is greater than the positive impact.The square Euclidean Copula method is used to select the function with better fit degree from Archimedean Copula function,and then the relationship between them is judged according to the tail correlation.Research has found that the GEM and SME,show positive correlation with the Shanghai Composite Index and Shenzhen Component Index.But when the Shanghai and Shenzhen index fall,SME and GEM.are greatly affected.At the same time compared with the Shanghai index relationship,to the end of the GEM,and SME,Shenzhen index shows thicker tail relations,namely the Shenzhen index has greater impact on the GEM,SME.

关 键 词：Archimedean Copula-EGARCH模型 阿基米德COPULA 相关性 尾部相关性 

分 类 号：F224.7[经济管理—国民经济]