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Comparison Analysis of Clayton, Gumbel, and Frank Copula for Modeling the Dependence Between Bbca Closing Price and Indonesia Macroeconomic Factors

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Clayton copula best models the relationship between inflation and BBCA closing price, revealing strong dependence.
Strong dependence between exchange rate and BBCA closing price occurs at high values, indicated by the Frank copula.
Interest rates also show strong dependence with BBCA closing price at elevated levels, highlighting macroeconomic influence.
Log-likelihood values from different copulas demonstrate varying strengths of dependence among the factors analyzed.

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Analysis shows dependence of BBCA closing price on macroeconomic factors, highlighting copulas' effectiveness.

Hanin et al. (2025) studied this question.

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