Research On The Correlation Between Gold And Oil Spot Market Based On Copula

In this paper,based on China's gold and crude oil spot yield data,the AR(1)-GARCH(1,1)-t model marginal distribution,by comparing three types of time-varying copulas connect fitting selection state degree of fitting better time-varying copulas connect research domestic gold and crude oil spot market linkages,and carries on the explanation.The empirical results show that the use of AR(1)-GARCH(1,1)-t model can better describe the yield fluctuation connection,time-varying t-copulas connect function can describe a good oil and gold spot market,the relationship between dynamic average correlation coefficient is 0.2612,show some volatility in the short term,long-term stable within a certain range.Higher domestic inflation have helped to strengthen domestic gold and oil market links.