Industry Correlation Analysis of Chinese Stock Market Based on Copula-GARCH Model

This paper constructs Copula-GARCH model to study the correlation and correlation structure between financial markets. GARCH-t model was used to construct the edge distribution of Copula function, and the correlation between industry indexes was described according to Kendall rank correlation coefficient with upper and lower tail correlation coefficient, so as to test the spillover effect between industries. The results show that Gumbel copula can better fit the correlation between the index series of these industries. The mean spillover effect between different industries in the A-share market is very significant, the correlation between different industries in the A-share market is time-varying, and the two-way fluctuation spillover effect between industries is obvious.