Abstract: Semiparametric Archimedean copulas, which have a fexible dependence structure because of the special way constructed by using the existing archimedean generator, can describe the dependence structure between the financial data auto-adaptively. The empirical results on the exchange rate market suggest that the semiparametric Archimedean copula is more flexible than the other three copulas, and is suggestive when selecting copulas.