论文部分内容阅读
对于动态投资组合与风险管理来说,测定波动溢出效应是非常重要的.已有的文献证明SV模型比GARCH模型能够更好地刻画金融市场的波动,使用SV模型研究两个金融市场间波动溢出的文献并不多见,而使用SV模型研究多个金融市场对一个金融市场协同波动溢出的文献则更为少见.本文以独立成分表示金融市场波动的协同指标,提出了独立成分SV模型(ICA-SV),并研究了多个金融市场对一个金融市场的协同波动溢出,实证结果验证了ICA-SV模型在分析金融市场协同波动溢出是可行的.
For the dynamic portfolio and risk management, it is very important to measure the volatility spillover effect.Existing literature proves that the SV model can better describe the volatility of financial markets than the GARCH model and the SV model to study the volatility spillover between two financial markets Are rare, and it is rare to use SV model to study the multiple financial markets for a financial market to co-operate with spillover.This paper presents synergetic indicators of financial market volatility with independent components, and presents the independent component SV model (ICA -SV), and studied the volatility spillovers of multiple financial markets on a financial market. The empirical results verify that ICA-SV model is feasible in the analysis of synergic volatility in financial markets.