Abstract:

To solve dependency of the financial market, we anysis minimum dependency of high frequency between different financial markets. First, we introduced the model method and the model characteristics of Copula GS function. Secondly, the method of estimating the parameters of Copula GS function was studied.
Finally, the tail dependence and negative tail dependency of the model were studied, and mainly did the research based on Eviews and GS Copula function index futures IF1112 Index and SSE 000 001 Index 5 minutes minimum yield sequence dependencies, it is concluded that the data of their yield sequence data are very strong. The result provides theory foundation for weakening financial decision risk.

Key words: Eviews, GS Copula function, the minimum value, dependencies