Analysis of the Correlation between Macro-economy and Stock Market Volatility Employed by Time-varying Copula and ICA
- 10.2991/itms-15.2015.327How to use a DOI?
- Macro-economy; Stock market; Time-varying Copula; ICA
This paper aims to estimate the dependence between macro-economy and stock market volatility. Firstly, we employ independent component analysis (ICA) to excavate the independent driven factors of the macro-economy and name all the independent components. Secondly, we assume that all margins are submitted to skewed t distribution, and then make use of AR(1)-GJR(1,1)-Skewed t model to fit monthly time series data. Moreover, time-varying normal copula and time-varying SJC copula are used to fit the dependence between macro-economy and stock market volatility and they all behave well. Results show that import and export factor (IC1) can exert a big impact to stock market and the dependence between them varying rapidly through time. The dependence fluctuates great during the appreciation of the RMB against the U.S.
- © 2015, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - C.Z. Sun AU - Y.W. Yang PY - 2015/11 DA - 2015/11 TI - Analysis of the Correlation between Macro-economy and Stock Market Volatility Employed by Time-varying Copula and ICA BT - Proceedings of the 2015 International Conference on Industrial Technology and Management Science PB - Atlantis Press SP - 1334 EP - 1339 SN - 2352-538X UR - https://doi.org/10.2991/itms-15.2015.327 DO - 10.2991/itms-15.2015.327 ID - Sun2015/11 ER -