Based On The Garch Model Of Stock Market Volatility Characteristics And Correlation Analysis

The stock market has the characteristic for the its price fluctuate, andhow to describe the price behavior of the stock market exactly in order toforecast the stock market yield is a very important question. Nowadays, thecorrelation betweens different stock markets become more and more significantas the finance globally and the opening of the money markets in differentcountries, at the same times, the "volatility spillover" between stockmarkets was playing even more important role in decision-making of investors.However, the conclusions that how and how much the stock markets affect eachother are uncertain because the data that was selected is different fordifferent researchers.In this thesis, five stock indexes were selected to study the relationshipand the volatility spillover between different markets. In my study, VAR model,IRF(Impulse Response Function)and multivariate GARCH model was used toanalyse the transfer of volatilities from one market to another.