Correlation Analysis of Stock Market and Fund Market Based on M-Copula-EGARCH-M-GED Model
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Journal of Systems Science and Information  2020, Vol. 8 Issue (3): 240-252    DOI: 10.21078/JSSI-2020-240-13
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Correlation Analysis of Stock Market and Fund Market Based on M-Copula-EGARCH-M-GED Model
Ruihua WANG, Hongjun WANG
School of Mathematics and Statistics, Xidian University, Xi'an 710126, China
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Abstract 

In this paper, M-Copula is used to analyze the correlation between Shanghai Composite Index and Shanghai Fund Index. By analyzing the characteristics of the logarithmic yields sequence of two samples, the marginal distribution model is established by using EGARCH-M-GED model. According to the correlation between two logarithmic yields sequence, the M-Copula model is selected to model its correlation structure, and its parameters are estimated by EM algorithm. Because MCopula combines characteristics of different Copulas, it has more flexible distribution forms and more prominent ability to describe the fat tails and correlation characteristics of data, and more importantly, the effect is better than single Copula.

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Ruihua WANG
Hongjun WANG
Key wordsM-Copula   EGARCH-M-GED   EM algorithm   correlation     
Received: 2019-09-18;
Fund:

Supported by National Natural Science Foundation of China (61573266)

About author: Ruihua WANG,E-mail:2810040936@qq.com;Hongjun WANG,E-mail:hjwang80@163.com
Cite this article:   
Ruihua WANG,Hongjun WANG. Correlation Analysis of Stock Market and Fund Market Based on M-Copula-EGARCH-M-GED Model[J]. Journal of Systems Science and Information, 2020, 8(3): 240-252.
URL:  
http://www.syssci.ac.cn/EN/10.21078/JSSI-2020-240-13     or     http://www.syssci.ac.cn/EN/Y2020/V8/I3/240
 
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