GARCH-skewed T Model And Its Application In The Automotive Industry

Since China's reform and opening up 30 years, the domestic financial markets continue to open arms to the outside world, a wide variety of financial products continue to be innova-tion and transformation. China's financial market competition more intense. How accurately identify risks, measure risk and to develop Risk adapt decisions become the core issue of concern who control the wind.Under normal circumstances, the relationship between daily stock returns is nonlinear relationship, just Copula theory can reflect this non-linear relationship between the rate of daily stock returns, and Copula function can be combined with daily yield distribution of individual stocks situation (marginal distribution) shows the overall distribution to multiple stock (joint distribution), so Copula theory into financial markets commonly used method for risk measurement. In practice, a Copula model corresponding to the marginal distribution Select the key to solving the problem. Because GARCH-t model can describe the charac-teristics of financial time series "fat tail", so most of the case studies used in the analysis of stock GARCH-t model to describe the distribution of daily returns, However, this distribu-tion is usually not symmetrical, and t distribution has symmetry, for this reason, this paper create GARCH-skewed t model effectively overcome the above problems, well reflect the asymmetric marginal distributions, and GARCH-t model to estimate the parameters of the majority to take maximum likelihood estimation method. When using maximum likelihood estimation method, the objective function encountered no great value, this method can not be drawn largely Best solution.Research GARCH-t model parameters estimated that most take before the maximum likelihood estimation method, however, in the case of the objective function encountered no great value, this method can not be drawn largely optimal solution. Bayesian methods used in this paper will be seen as a random variable estimation parameters obey a certain distri-bution, and provided in advance prior distribution of the parameters, namely people, priori information in the parameter estimation process for the subjective experience information on parameters and sample information are used simultaneously. Bayesian estimation methods effective customer the maximum likelihood estimation method defects.This article uses the WinBUGS software effectively in the model parameters estimated .WinBUGS software to run the MCMC method based on it all the unknown parameters are seen as random variables, then the probability of this type of model is solved.The article first introduces GARCH model, Copula theory and Bayesian theory and Bayesian estimation theory to establish Copula-GARCH-skewed t model, and finally the automotive industry daily yield for the study, the use of Bayesian estimation methods Model parameter estimation, and then come daily yield real-time correlation. The results show that there is a strong positive correlation between FAW and BYD daily return.