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Modeling Dependence Dynamics of Air Pollution: Time Series Analysis Using a Copula Based GARCH Type Model

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Uncertainty Analysis in Econometrics with Applications

Part of the book series: Advances in Intelligent Systems and Computing ((AISC,volume 200))

Abstract

This paper investigates the dependence structure between the Air Pollution Index (API) of Shenzhen and corresponding regional, national levels based on copula based GARCH models. In particular, time varying normal copula and time varying SJC copula are compared and employed to model the dependence structure. Comparison with the results of DCC-GARCH model is made. We find that there exists significant asymmetric upper and lower tail dependence between Shenzhen and regional, national levels; tail dependence captures the change in dependence better; dependence structure change across time. Our findings have implications for environmental management.

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Author information

Authors and Affiliations

  1. Faculty of Management & Economics, Kunming University of Sci.& Tech., Kunnming, China

    He Zhanqiong

  2. Faculty of Economics, Chiang Mai University, 650053, Chiang Mai, Thailand

    He Zhanqiong

  3. Faculty of Economics, Chiang Mai University, P.O. Box 650224, Thailand, Chiang Mai

    Songsak Sriboonchitta & Dai Jing

Authors
  1. He Zhanqiong
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  2. Songsak Sriboonchitta
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  3. Dai Jing
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Corresponding author

Correspondence to He Zhanqiong .

Editor information

Editors and Affiliations

  1. Science and Technology, School of Knowledge Science, Japan Advanced Institute of, Asahidai, Nomi 1-1, Ishikawa, 923-1292, Japan

    Van-Nam Huynh

  2. , Department of Computer Science, University of Texas at El Paso, W. University 500, El Paso, 79968, Texas, USA

    Vladik Kreinovich

  3. , Faculty of Economics, Chiang Mai University, Chinag Mai, 50200, Thailand

    Songsak Sriboonchitta

  4. , Faculty of Economics, Chiang Mai University, Chinag Mai, 50200, Thailand

    Komsan Suriya

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Zhanqiong, H., Sriboonchitta, S., Jing, D. (2013). Modeling Dependence Dynamics of Air Pollution: Time Series Analysis Using a Copula Based GARCH Type Model. In: Huynh, VN., Kreinovich, V., Sriboonchitta, S., Suriya, K. (eds) Uncertainty Analysis in Econometrics with Applications. Advances in Intelligent Systems and Computing, vol 200. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-35443-4_15

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  • DOI: https://doi.org/10.1007/978-3-642-35443-4_15

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-35442-7

  • Online ISBN: 978-3-642-35443-4

  • eBook Packages: EngineeringEngineering (R0)

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