Application Of Mixed Copula Model In The Chinese Stock Market

On China’s securities market, such as the Chinese stock market, the stock is a big play in the fall will not affect the volatility of other stock, and thus will not affect the entire stock market volatility, as will have much impact? To answer these questions, we must consider the dependence structure of various stock China stock market (index) between, which depicts the dependence structure, and in fact we know, financial assets (stocks) income data are often thick tail between them sometimes do not have a linear relationship (or showed weak correlation), which If to the classical linear Pearson correlation coefficient to measure actually does not make sense, therefore, we need to find a new tool to measure stock market dependence structure--Copula. Copula appears to us a more accurate understanding of the stock market dependence structure, the most direct practical significance.In this paper, the use of mixed Copula function dependent structure of China’s main stock market index returns were studied, mixed Copula function is selected from the Archimedean Copula clan family of functions constitute the first 1,5,13, which is characteristic of the first family of functions under thick tail, the tail dependence coefficient that is greater than 0, this means that the family of functions from strong positive to strong negative dependencies dependencies. Upper end and the lower end of the tail dependence coefficient of 0 is the characteristic function of Group 5, on the contrary this family of functions with the first family of functions, which can go from a strong negative dependencies strong negative dependencies. Group 13 is also characterized by the tail and the tail lower tail dependence coefficient is 0, but such functions can go strong positive dependence structure from a separate relationship. Then, based on these functions on each section of the stock index research and analysis, to arrive at conclusions.