Copula Theory And Its Applications In The Stock Analysis

The volatility of the stock market has been the focus of attention, including stock market volatility spillover effects studies is relatively mature,this is the volatility of a major significant feature. Using GARCH models is to analyze the financial data, which involved relationship is characterized by linear relationship, but the linear correlation coefficient can not fully describe the complexity of financial markets. The paper choice that Copula function derived some related measure, in order to measure the true relevance of financial market.This paper work is a description and analysis of stock market volatility spillover effects.Compared with the five important global index as the research object, using Copula function derived correlation coefficient,it describes the correlation of volatility spillover effect, The general comments include:(1) The first part describes the research background and stock market volatility spillover effects and Copula of the research achievements, introduced the wave theory and the basic theory of Copula functions, including the definition of Copula methods, properties and common Copula functions, Copula functions export a series of relevant indicators and parameters estimation;(2) The second part introduces the building Copula mode,at first,described in Copula model construction methods, including the construction steps, parameter estimation and parametric test method, followed for this article selected data, the introduction of GARCH-t conditions of marginal distribution,and construct two-dimensional Normal Copula model, discusses the problem of the parameter estimation and inspection.(3) The third part Five index for empirical results was analyzed and illustrated,compared to the same time the data analysis, results showed stock market volatility spillover between the strength of significant differences from region to region, At finally,after the financial crisis, the empirical results of comparison, the stock market volatility spillover from the changes, the results show that China's stock market and other stock market volatility spillover effects between the increase after the financial crisis.