;In this paper, we propose the estimation problem for a copula-based Markov model. Owing to the fat tail feature in stock market, we select mixture normal distribution as the marginal distribution for the log return. Based on the mixture normal distribution as the marginal distribution and the Clayton copula, we obtain the corresponding likelihood function. In order to solve the maximum likelihood estimators, we apply Newton Raphson method. In the empirical analysis, the stock price of Dow Jones Industrial Average is analyzed for illustration.
