Dependence Model and Its Application Based on Higher Moment Volatility and Copula

›› 2012, Vol. 24 ›› Issue (1): 58-66.

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Dependence Model and Its Application Based on Higher Moment Volatility and Copula

YI Wen-De

Deptment of Mathematics & Statistics, Chongqing University of Arts and Science, Chongqing 402160

Received:2012-04-26 Revised:2012-04-26 Online:2012-01-25 Published:2012-04-26

Abstract

Abstract: A dependence structure model based on higher moment volatility, Copula-NAGARCHSK-M model, is proposed in this paper. The model is used to investigate the dependence structure of logarithmic returns, conditional variances, conditional skewnesses and conditional kurtosises between Shanghai and Shenzhen stock markets based on the consideration that the time-varying conditional variance risk, skewness risk and kurtosis impact on the marginal distributions. The evidences show that the dependence structures of returns, variances and kurtosises between both stock markets are similar, but the dependence structure between skewnesses is similar on the negative directional dependence.

Key words: font-size: 9pt, mso-fareast-font-family: 宋体, mso-font-kerning: 1.0pt, mso-ansi-language: EN-US, mso-fareast-language: ZH-CN, mso-bidi-language: AR-SA" lang="EN-US">higher moment, copula function, copula-NAGARCHSK-M model, higher moment dependence

YI Wen-De. Dependence Model and Its Application Based on Higher Moment Volatility and Copula [J]. , 2012, 24(1): 58-66.

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Dependence Model and Its Application Based on Higher Moment Volatility and Copula

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