基于Copula的创业板指数与上证指数的相关性研究.docxVIP

摘要创业板作为证券市场的一个独立板块，在资本市场发挥着无可替代的作用，创业板指数与上证指数的相关性一直受到金融市场的关注，研究两个指数的相关性不仅仅帮助投资者认识到创业板的风险，而且对我国证券市场的健康发展以及完善起到重要的作用。在分析相关性时，用 Copula 函数将边际分布与联合分布分开考虑，在实际情况中避免了传统理论的不足，在刻画尾部时有其特别的优势。本文在分析研究创业板指数与上证指数的相关结构时，运用 ARMA(R，M)-GARCH(p，q)-t 模型构建了边缘分布，分别拟合出创业板指数和上证指数的最优的收益率序列模型，再结合 Copula 理论构造 Copula 模型，并运用最大似然估计（ML）对 Copula 模型中的参数进行估计。在分析尾部相关性时，考虑到创业板分别有两个典型的下跌和上涨时期，因此划分 2010.06.01-2012.12.03 和2012.12.04-2013.12.31 两段大幅涨跌时间段进行对比，运用 Copula 函数中的Clayton Copula 和 Gumbel Copula 函数对尾部相关性进行定性和定量的分析，并且比较不同 Copula 函数的刻画能力。关键词：创业板指数;上证指数;Copula 函数;相关性AbstractGem as an independent sectors of the securities market, plays an irreplaceable rolein capital market, the gem and the Shanghai index has been attracting the attention offinancial markets, the relevance of the study the relativity between two index not onlyhelp investors to realize the risk of the gem, but also for the healthy development ofsecurities market in China as well as the perfect play an important role.Based on theanalysis of correlation, using copulas connect function separate marginal distributionand joint distribution into consideration, in the actual situation to avoid thedisadvantages of traditional theory, in depicting the tail has its special advantage.Based on the analysis of research on the correlation structure of the gem indexand Shanghai index, using the ARMA (R, M) - GARCH (p, q) - t model to build themarginal distribution, the fitting out the gem index and Shanghai index respectivelythe optimal sequence of yield of the model, combining copulas connect copulasconnect theory structure model, and using the maximum likelihood estimation (ML)to copulas connect to estimate the parameters in the model.In analysing the tailcorrelation, considering the gem are two typical fall and rise period, thus divided2010.06.01 2012.12.03 and 2012.12.04 2013.12.31, comparing the two sharp rise andfall time using copulas connect function of Clayton copulas connect and Gumbelcopulas connect function to qualitative and quantitative a