Based On ARCH Family Model And Copula Function The Index And Volume Of GEM Research

The Growth Enterprise Market(GEM)is the emerging financial markets,represents the development direction of the national economy in the future.Index and volume as an important index of stock market technical analysis,the basic situation of the index series represents the entire GEM stocks,Turnover represents investors in the stock market ”investment sentiment index ”.It is of great significance to analyze and study the index and volume of the GEM.ased on the date of gem index listing(2010.06.01)to the recent(2017.10.27)GEM dately and weekly and monthly data,the sample size is large,and the sample covers three types of data,which is rich in data.The paper uses ARCH model,Granger causality test,Gumbel Copula function to study the gem index and volume.The pape get a positive relationship between the gem index and volume.The negative correlation between index and risk is obtained through the ARCH-M model,and the volume and risk are positively correlated.Both the ARCH model and the ARCH-M model can fit the sequence well,and the prediction results are ideal for the sequence.For the TARCH and EGARCH model,there are information asymmetry and leverage effect on data index and volume,which can produce good news bad news Billy greater impact,and weekly data and monthly data do not exist leverage effect.By calculating the Kendall rank correlation coefficient and correlation coefficient on the tail and analysis,there were positive correlation between daily data,weekly data and monthly data,and on the tail correlation,but the correlation is weak.