基于Copula模型的股市收益率与成交量的相关分析

Dependence Relationship Between the Returns and Volume of Stock Based on the Copula Model

建立了基于AR(1)-GARCH(1,1)的Gumbel Copula模型,并以此为基础刻画了中国房地产股市收益率与成交量之间的相关性.通过AIC信息准则进行拟合优度检验发现,Gumbel Copula函数模型能够更好地刻画收益率与成交量之间的相关结构,收益率与成交量之间存在上尾高的非对称相关,以及很弱的正相关的特征.

This paper establishes Gumbel Copula model based on AR（1）-GARCH（1,1）,and then portrays the correlation between the real estate of return and volumes through Gumbel Copula model.By AIC information criterion for testing goodness it is found that the Gumbel Copula is better to describe the dependence structure between the price return and volumes.Results show that there is an asymmetrical dependence of higher upper tail between them,but the positive dependence is not strong.