基于copula模型的股市波动不对称性研究-管理科学与工程专业论文.docxVIP

ABSTRACTVolatility ABSTRACT Volatility is not only an essential property of stock market，but also an important indicator to measure the quality and efficiency of the stock market． Previous research on stock market volatility,mainly concentrated in sustainability and cluster of such characteristics．Currently,asymmetry of volatility gradually becomes a research focus．As an emerging market，Chinese stock market has many different places with mature markets．Research on the asymmetry of China’S stock market volatility helps to understand the mechanism of Chinese stock market from higher level and help investors understand the risks and control them：It also helps to clear the development direction of China’S stock market． In the past，most studies use GARCH model family to research on the asymmetry in stock market．This article will take Copula technology to study the asymmetry of stock market volatility,using the three most representative Copula function：Gumbel Copula，Clayton Copula function and Frank Copula function to construct a M·Copula model．By M—Copula model，we study the empirical evidence on the relationship between the volatility and daily yield of the Shanghai Composite Index．In the empirical study,we use Weighted Realized Volatility(WRV)which calculated from high-frequency data．We estimated the model parameters by using pseudo maximum likelihood estimation．Testing the goodness of fit with M statistic， the results show that the M-Copula model Can better characterize the structure of relations between volatility and yield series．In this paper,the main conclusions are as follows： First，the return series and the volatility series do have tail dependence correlation，that is，there is consistency between the two simultaneous extreme． Second，the asymmetry of volatility of Chinese stock market does exist，and this asymmetry is“positive”，that is bad news bring greater impact than good news． Third，the tail correlation coefficient of the Shanghai index return series and vol