Research On The Dynamic Correlation Of Stock And Bond Market Based On MRS-EGARCH-Copula Model

With the rapid development of the global economy,domestic finance is increasingly connected to the world,the links between various markets are rapidly strengthening,and the correlation between markets is also more complicated.At present,China's capital market is developing rapidly,but compared with foreign capital markets,there are still many shortcomings.For example,in Western developed countries,the stock market and the bond market can coordinate and complement each other.The steady fluctuations in the bond market make up for the dramatic fluctuations in the stock market,which in turn can provide feedback to the bond market.However,due to the particularity of the Chinese market,it is worth pondering whether this feature also exists.The Chinese stock market and bond market are relatively immature compared to developed foreign markets,and many aspects still need to be improved.In recent years,financial globalization has continued to deepen,and China 's capital market has developed faster and faster,resulting in a larger and larger asset management scale.In many capital asset allocations,stocks and bonds play a decisive role.Not only that,the stock and bond markets are particularly important not only in the domestic financial market,but also in the development of other countries.Therefore,a deep understanding of the relationship between the two markets and the laws of operation can better promote economic development.This article selects the daily closing price data of the Shanghai Composite Index to represent the stock market,and selects the daily closing price data of the Shanghai Securities Index to represent the bond market.The EGARCH-Copula model and the MRS-EGARCH-Copula model were constructed,and the changes in the correlation between stock and debt were analyzed.On the one hand,first of all,through the estimation of the EGARCH model,it can be known that both markets have strong leverage effects.Before and after the 2008 economic crisis,the stock market and the bond market fluctuated violently.In the 2015 bull market,the stock market's The volatility is more obvious,but the bond market is relatively stable.Secondly,using EGARCH to filter the yield data of the stock market and the bond market,and then examined the correlation between the two markets,the results show that the static correlation between the two markets is not obvious,that is,the two markets are not obvious Static correlation.And because both markets have undergone a high-low fluctuation conversion process,on the other hand,this paper introduces a Markov conversion mechanism in the EGARCH filtering model to build the MRS-EGARCH-Copula model.First,through the estimation of the MRS-EGARCH model,it is found that the stock market lasts longer under high volatility,and the bond market lasts longer under low volatility.Not only that,the stock market is more inclined to high volatility under low volatility.Under the state of high volatility,the bond market is more inclined to move to a state of low volatility.According to the estimation results of the MRS-EGARCH model,the leverage effect of the stock market under high volatility is obvious,but the leverage effect is not significant under low volatility;the bond market has a significant leverage effect under low volatility,and the leverage is high The effect is not significant.Second,the MRS-EGARCH model was used to filter the yield data of the stock market and the bond market,and the correlation between the stock and bond markets was examined again.The results show that although the MRS-EGARCH model has a better filtering effect than the EGARCH model,the model is more effective.For improvement,the static correlation between the two markets is still not significant.Therefore,we can know that there is no obvious static correlation between the two markets.Finally,by comparing the maximum likelihood value with the two information criteria,the Copula model with the best performance in the two estimates was selected to measure the dynamic correlation of the stock bond and the tail dynamic correlation,respectively.The results show that the tail-end correlation(that is,the bottom-end correlation)of stock and bonds performs better,indicating that when the economic conditions are poor and extreme economic events occur,the probability of extreme declines in both stock and bond markets is extremely high.