Author(s)

Minhao Liu

Corresponding Author

Minhao Liu

ABSTRACT

This paper attempts to describe the joint and marginal distribution performance of China's market index through time series model combined with Copula. Combined with the stationary rate of the processing method and the indicators of the best time series model after stationary processing, the stationary method suitable for the domestic market is discussed. It is found that the fitting degree of t-Copula is the highest among the most basic Copula types.

KEYWORDS

ARMA, GARCH -Copula, Correlation