期刊名称：International Journal of Hybrid Information Technology
印刷版ISSN：1738-9968
出版年度：2016
卷号：9
期号：10
页码：167-174
出版社：SERSC
摘要：In modern financial issues empirical analysis shows that the volatility of financial market time series showed more variable, volatility clustering, spike and heavy tail. Garch model family in the analysis of financial time series squared error autocorrelation on widely recognized. However Garch model only analysis a single time series, correlation analysis for multiple time series on limitations. This paper introduces Copula function for studying the correlation of multiple time series. Using Garch model as marginal distribution for Copula function. At the same time, analyze correlation of t-Copula and normality Copula in the financial issus.
关键词：Garch model; marginal distribution; time series; Copula function
