基于Gumbel Copula的金融市场波动溢出模型

A Volatility Spillover Model of Financial Markets Based on Gumbel Copula

将Gumbel Copula函数与GARCH模型结合起来刻画金融市场间的尾部相关结构,结果表明,Gumbel Copula可以有效刻画金融市场波动溢出效应;对沪深股市的实证研究表明,次贷危机不仅造成了沪深股市的低迷,而且加剧了沪深股市的波动溢出效应,认为次贷危机是沪深股市相关结构的一个结构性变点。

Gumbel Copula function was combined with （;ARCH model for capturing the tail dependence structures between financial markets. The results show that Gumbel Copula function can describe the volatility spillover effects between financial mar- kets effectively. The empirical study on Shanghai and Shenzhen stock market shows that the subprime crisis not only caused the depression in Shanghai and Shenzhen stock market, but also exacerbates the volatility spillover effects, which indicates that the subprime crisis is a structural changing point in the dependence structure of Shanghai and Shenzhen stock market.