系统管理学报2012，Vol.21Issue(5)：696-703,8.
基于ARMA-GARCH-COUPULA模型的交易量与股价波动相依关系
The Dependence Relationship between the Volume and the Price Volatility based on ARMA-GARCH-COPULA Model
摘要
Abstract
The dependence relationship between the trade volume and the stock price volatility is a longstanding problem which both academics and investors would like to understand and resolve. It is necessary not only to study the degree of dependence but also to investigate the structure of dependence between the trade volume and the stock price volatility. In this paper, an ARMAGARCHCopula model is proposed to investigate the measure and the structure of dependence between the difference of stock daily price index logarithmic extremum and the trade volume logarithm in three stock markets. The results show that ARMA-GARCH-Copula model is accepted in the test of the model which describes the dependence structure, and there is a strong positive dependence and an asymmetrical dependence phenomena of higher upper tail and lower tail between the difference of stock daily price index logarithmic extremum and the trade volume logarithm.关键词
Copula函数/相依结构/交易量/波动性Key words
copula/ dependence structure/ trade volume/ volatility分类
数理科学引用本文复制引用
易文德..基于ARMA-GARCH-COUPULA模型的交易量与股价波动相依关系[J].系统管理学报,2012,21(5):696-703,8.基金项目
国家自然科学基金资助项目(71271227) （71271227）
国家社会科学基金资助项目(11BJY058) （11BJY058）
教育部人文社会科学研究项目(11XJC790004,09YJCZH104) （11XJC790004,09YJCZH104）
重庆市教育委员会科学技术研究项目(KJ111211) （KJ111211）
