基于Copula-GARCH模型的上证地产股与金融股的相关性研究

Research on the dependence of shanghai real estate shares index and financial index based on Copula-GARCH models

利用Copula-GARCH模型,研究上证地产股指数和金融股指数收益率的相关性.利用边缘函数推断法(IFM)建立2个股指对数收益率的时间序列的GARCH(1,1)-t模型.对边缘分布概率积分变化后的2个服从均匀分布的序列,分别建立常相关的二元Copula模型,包括正态Copula函数、Clayton Copula函数、Gumbel Copula函数、t-Copula函数、SJC-Copula函数和时变相关的二元Copula模型.对2007年12月10日至2012年3月30日上证交易所地产股票指数和金融180股票指数进行实证分析,讨论2个行业的股票和行业本身的相关性.

Copula-GARCH model was used to study correlation between the Shanghai real estate index and the finan- cial index. According to the inference method of margin function（IFM）, we build time series GARCH （1,1）-t mod- el for two logarithm yield indexes. At the same time, we obtain the constant correlation two-variable Copula model for the two uniform distribution sequences after the marginal distribution of probability integral, including the nor- mal Copula function, Clayton Copula function, Gumbel Copula function, t-Copula function, SJC-Copula function and time-varying two-variable Copula model. We applied this method to Shanghai stock exchange real estate stock index and the stock index of financial 180 empirical data from December 10, 2007 to March 30, 2012. And then the relevance between two industries and their corresponding stocks was discussed.