A Study On The Correlativity Of Copula 's GEM Index And Shanghai Stock Index Based On Copula

Gem as an independent sectors of the securities market, plays an irreplaceable role in capital market, the gem and the Shanghai index has been attracting the attention of financial markets, the relevance of the study the relativity between two index not only help investors to realize the risk of the gem, but also for the healthy development of securities market in China as well as the perfect play an important role.Based on the analysis of correlation, using copulas connect function separate marginal distribution and joint distribution into consideration, in the actual situation to avoid the disadvantages of traditional theory, in depicting the tail has its special advantage.Based on the analysis of research on the correlation structure of the gem index and Shanghai index, using the ARMA(R, M)- GARCH(p, q)- t model to build the marginal distribution, the fitting out the gem index and Shanghai index respectively the optimal sequence of yield of the model, combining copulas connect copulas connect theory structure model, and using the maximum likelihood estimation(ML)to copulas connect to estimate the parameters in the model.In analysing the tail correlation, 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 and fall time using copulas connect function of Clayton copulas connect and Gumbel copulas connect function to qualitative and quantitative analysis, the tail correlation and compare different copulas connect function characterization ability.