Dependence Relationship Between the Returns and Volume of Stock Based on the Copula Model

doi:DOI:10.3969/j.issn.1007-2985.2013.04.007

journal6 ›› 2013, Vol. 34 ›› Issue (4): 26-30.DOI: DOI:10.3969/j.issn.1007-2985.2013.04.007

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Dependence Relationship Between the Returns and Volume of Stock Based on the Copula Model

(College of Mathematics，Southwest Jiaotong University，Chengdu 610031,China）

Online:2013-07-25 Published:2013-07-18

Abstract

Abstract: This paper establishes Gumbel Copula model based on AR(1)-GARCH(1,1),and then portrays the correlation between the real estate of return and volumes through Gumbel Copula model.By AIC information criterion for testing goodness it is found that the Gumbel Copula is better to describe the dependence structure between the price return and volumes.Results show that there is an asymmetrical dependence of higher upper tail between them,but the positive dependence is not strong.

Key words: Copula, returns, trade volume, correlation

JIANG Song-Ming, WANG Qin, LIU Xi, CHANG Chun-Yan. Dependence Relationship Between the Returns and Volume of Stock Based on the Copula Model[J]. journal6, 2013, 34(4): 26-30.

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Dependence Relationship Between the Returns and Volume of Stock Based on the Copula Model

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