Analysis of the Correlation between Macro-economy and Stock Market Volatility Employed by Time-varying Copula and ICA

DOI

10.2991/itms-15.2015.327How to use a DOI?

Keywords

Macro-economy; Stock market; Time-varying Copula; ICA

Abstract

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.

Copyright

© 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/).

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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  -