€™s equity market affect the local stock market and whether such impacts are persistent through time. Adopting the GARCH-EVT-Copula … approach, this study takes the Taiwan Stock Exchange as an example to examine (1) the time varying dependencies between the … changes in the Taiwan Stock Exchange Capitalization Weighted Stock Index and the changes in foreign portfolio investment …

distribution. The model is extended to support a CCC-(I)GARCH structure and demonstrated by modeling and forecasting the return …

aftermath period. We then estimated the 1% VaRs and expected maximum losses through a GARCH– extreme value theory–copula …