Study of Leverage Effect based on M-Copula and High-frequency Data

摘要

In this paper, we propose the use of M-copula model to study the leverage effect in the SH index. Daily volatility is measured by realized volatility, which is constructed from high-frequency data. The study shows that the tail dependence structure of return and its latent volatility is asymmetric. The lower tail dependence coefficient is higher than the upper tail dependence coefficient, this implies that there is a significant leverage effect in the SH index.