基于具有尾部变结构的Copula-GARCH模型的相关性分析

Analysis of Dependence Based on the Copula-GARCH Model with Structural Change in Tail

针对金融市场中不同资产之间的尾部相关结构的非对称性和动态性,并通过分析几种常见的Copula函数在相关性分析上的优劣,本工作创新之处是构建了具有尾部变结构的Copula-GARCH模型。相比于单一的、静态的Copula函数,它具有多个Copula函数的混合特性。最后以上证综指和深证成指为例进行分析,结果表明:该模型能够更准确地描述投资组合中金融时间序列之间的动态相关特征。

Every Copula function has its advantage to analyze the dependence among the financial assets,so Copula-GARCH model with structural change in tail is established to describe non-symmetrical and dynamic tail dependence of different assets in financial market.Compared to other static Copula models,our model has mixing characteristics of several Copulas.Finally empirical study using the Shanghai Composite Index and the Shenzhen Component Index shows that the model can describe non-symmetrical and dynamic tail dependence of different assets in a portfolio better.