Research on structural correlation of HS 300 stock index based on AR (n)-XARCH-Copula model

The AR (n)-XARCH model is established to deal with the autocorrelation and arch effects of the time series of HS 300 stock index and its weighted stock.The residual series obtained through the above model are converted to new series through probability integral transformation, which are used to estimate the parameters of the corresponding copula. The empirical research based on AR (n)-XARCH-Copula model shows that the structural correlation is relatively large for HS 300 stock index. In practice, it is necessary to strengthen supervision to constituent stock of HS300 stock index, optimize the mechanism of choosing constituent stock to reduce the market manipulation to maintain stable operation of financial market.