Paper Title
Dependence And Volatility Of Stock Sectors In Shanghai Stock Exchange: Vine Copula Garch Approach

Abstract
This paper constructs a framework by using the vine copula-GARCH model to capture the inter-dependence structure between the assets in shanghai stock exchange A shares. And the volatility will be a standard of risk measurement. Research studies data period from January 4, 2010, to December 31, 2014. The objective of this study is to show: Firstly, we will focus on the inter-dependent structure among 12 stock sectors, and find the strongest and weakest inter-dependent structure. Secondly, we suppose to find that unexpected shock for volatility in stock sectors have the long duration, while there is tiny influence in short-term. Thirdly, we suppose that the spot prices will have influence the related sectors. In the methods, we choose the ARMAX-GARCH Vine copula model, and we assume that this model can explain volatility and dependence well. Keywords - Vine copula; inter-dependence; shanghai stock exchange