Correlation Analysis of Stock Market and Fund Market Based on M-Copula-EGARCH-M-GED Model

Wang Ruihua () and Wang Hongjun ()
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Wang Ruihua: School of Mathematics and Statistics, Xidian University, Xi’an, 710126, China
Wang Hongjun: School of Mathematics and Statistics, Xidian University, Xi’an, 710126, China

Journal of Systems Science and Information, 2020, vol. 8, issue 3, 240-252

Abstract: In this paper, M-Copula is used to analyze the correlation between Shanghai Composite Index and Shanghai Fund Index. By analyzing the characteristics of the logarithmic yields sequence of two samples, the marginal distribution model is established by using EGARCH-M-GED model. According to the correlation between two logarithmic yields sequence, the M-Copula model is selected to model its correlation structure, and its parameters are estimated by EM algorithm. Because M-Copula combines characteristics of different Copulas, it has more flexible distribution forms and more prominent ability to describe the fat tails and correlation characteristics of data, and more importantly, the effect is better than single Copula.

Keywords: M-Copula; EGARCH-M-GED; EM algorithm; correlation (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:bpj:jossai:v:8:y:2020:i:3:p:240-252:n:3

DOI: 10.21078/JSSI-2020-240-13

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