基于Copula的股票市场波动溢出分析

对于动态投资组合与风险管理来说,测定波动溢出效应是非常重要的。已有的研究是建立在不同金融市场之间的波动是线性相关的,而线性相关并不能描述金融市场之间的非线性关系。借用Copula技术来描述股票市场之间的非线性关系、SV模型来刻画股票市场数据的边缘分布,并引入波动变结构论分析判断波动溢出,实证分析验证了方法是可行的。

Volatility Spillover Analysis on the Stock Market based on Copula Theory

It is very important to measure the volatility spillover for the dynamic investment portfolio and risk management. The known literature is based on linear correlation of the volatility between different financial markets, however, linear correlation cannot describe the non linear relationship between the financial markets. In this paper, Copula technology is used to describe the non linear relationship between the stock markets and SV models is used to depict the marginal distribution of the data of the stock markets, and Volatility Structural Change is introduced to analyze volatility spillover. At last empirically analyses demonstrate the feasibility of the method.