Modeling Dynamic Relationship Between Crude Oil Market And Stock Markets Based On Bayesian Copula Model

Crude oil is one of the most important strategic energy sources in the world today and is of great significance to the development of national economy and financial market.In recent years,the international crude oil price is ups and downs,and it has brought a great impact to the social economy.Crude oil as a representative of commodities,the same as the stock market,is also the economic prosperity or decline of the barometer.The impact of international oil prices on the economy is reflected in the stock market,and the stock market is the economic benchmark,also making the appropriate response to the volatility of oil prices.To this end,the study of crude oil and the relationship between the stock market changes is particularly important.In this paper,AR(p)-GARCH(1,1)-Copula model is used to test the relationship between international crude oil price and stock market returns.Copula function is very suitable for measuring the nonlinear correlation between variables,and it does not limit whether the edge distribution is subject to normal distribution,so Copula model is widely used in financial data dependent structure of the study.The key to Copula modeling lies in the establishment of edge distribution functions and the selection of Copula function families.From the Bayesian point of view,the model parameter is a random variable whose distribution can be inferred by combining the a priori density with the probability of observing the data,and on this basis for further statistical inference.The Bayesian estimation method combining with the GARCH model parameter estimation can make up the shortcomings of the traditional estimation,and the GARCH model is also suitable for Bayesian estimation method.Based on Copula and Bayesian theory,this paper makes an empirical study on the dependency relationship between crude oil price and BRICs stock market returns.The results show that the crude oil market and China's stock market return have weak correlation,and with the other four stock market returns have more obvious correlation.The SJC Copula model is more accurate than the static model.The parameter estimation of the Bayesian Copula model has a smaller error than the time-varying Copula model,and the prediction result is more accurate.