基于Copula-GARCH的金融市场时变相关性分析

进入21世纪全球各金融市场之间的联系日益紧密，一个国家的金融状况会不同程度的影响到其他的国家，尤其在金融危机爆发的境况下，各主要金融市场之间的相关性分析更是具有实践意义。由于Copula函数其自身的性质，在研究相关性分析上的优势，逐渐被应用到金融分析的模型当中。本文正是以二元正态Copula—GARCH（1，1）一t模型借助MATLAB分析工具箱，在金融危机的大背景下，对主要金融国家的金融市场波动情况的相关性分析。

Copula-GARCH Based Financial Market Time-varying Correlation Analysis

Entering into 21th century, the relationship between countries more deep. The change of financial environment of a country would impact on other countries. So the analysis of dependence between countries has more practice meaning. Because of the advance of Copula function, it has been applied in most fields in financial analysis. This article use bivariate copula - GARCH - t model by MATLAB toolbox, under the background that we still don＇ t recover from the financial crisis completely, to analysis the time varying correlation between countries.