Research on structural correlation of HS 300 stock index based on AR (n)-XARCH-Copula model

Author

Li Liang ; He Jian-min ; Sui Xin

Author_Institution

Sch. of Econ. & Manage., Southeast Univ., Nanjing, China

fYear

2014

fDate

17-19 Aug. 2014

Firstpage

1190

Lastpage

1194

Abstract

The AR (n)-XARCH model is established to deal with the autocorrelation and arch effects of the time series of HS 300 stock index and its weighted stock.The residual series obtained through the above model are converted to new series through probability integral transformation, which are used to estimate the parameters of the corresponding copula. The empirical research based on AR (n)-XARCH-Copula model shows that the structural correlation is relatively large for HS 300 stock index. In practice, it is necessary to strengthen supervision to constituent stock of HS300 stock index, optimize the mechanism of choosing constituent stock to reduce the market manipulation to maintain stable operation of financial market.

Keywords

probability; stock markets; time series; AR (n)-XARCH-copula model; HS 300 stock index time series; arch effects; autocorrelation effects; empirical research based; financial market; market manipulation reduction; parameter estimation; probability integral transformation; residual series; stable operation maintenance; structural correlation; weighted stock; Correlation; Euclidean distance; Fitting; Indexes; Mathematical model; Stock markets; Time series analysis; HS 300 stock index; arch effect; copula function; correlation;

fLanguage

English

Publisher

ieee

Conference_Titel

Management Science & Engineering (ICMSE), 2014 International Conference on

Conference_Location

Helsinki

Print_ISBN

978-1-4799-5375-2

Type

conf

DOI

10.1109/ICMSE.2014.6930364

Filename

6930364