| It's a hot issue for researching Volatility Spillover in rencent year. Volatility spillover effect is the volatility of a market not only by their early fluctuations, but also by the historical volatility of other markets. It is defined as Volatility Spillover across markets between the transfer market. In the process of growing stock market, information transmission mechanism between stock markets has important reference value on macroeconomic and financial policies of formulation and implementation and effective regulation of the market regulator. Effective recognition of the volatility spillover effect across stock markets can contribute to institutional investors in financial markets to allocate funds effectively and find investment opportunities for achieving the maximum benefits and risk minimization. From the perspective of venture capital and management, inter-industry stock price spillovers will bring additional risk for investment and management. In order to disperse, dissolve and transfer the risk of such a linkage, we offen need to research for different industries'rate of return of the volatility spillover effects, in order to achieve optimal combination of assets, risk hedging, market management.This paper selects seven types of different industries index rate of return for the study. First of all, we do simple correlation analysis for this index of seven types of different industries and find it shows a strong correlation between the different sectors. Secondly, we analyze different industries index's volatility spillover effects by the use of GARCH model family. The empirical results shows that there are significant volatility spillover effects in the different sectors. At last we take Forestry Index for example to analyze different industries index's synergetic volatility spillover effects by the use of PCA-GARCH model. The results shows that there are significant and synergetic volatility spillover effects in the different sectors. |
PDF Full Text Request