Based On Variable Structure Copula Function Shanghai Composite Index Volatility Spillovers

Volatility spillover effect means that the volatility of a financial market is influenced not only by the historical volatility of its own, but also by the volatility of other markets. When the financial crisis occur, the relationship between markets is destroyed, the correlation between markets increased significantly, and we can think that there is the volatility spillover effect between markets. Financial volatility and frequent crises make risk management and multivariate financial time series analysis to be the focus of attention at home and abroad. But the neo-classical economics based on the linear theory often seems not very effective when explains the new economic phenomenon, and the original multi-variable financial model can not fully meet the financial needs of the development. Therefore the application of Copula function in the financial sector provides an effective tool for the analysis of volatility spillovers.Based on this, we first estimated the marginal distribution of the the stock market return rate sequence, and then analyzed the correlation between other stock markets and the Shanghai stock market separately from the static and dynamic perspectives, and diagnosed the variable structure points by the application of Bayes sequential diagnosis method and Z method, and finally determined whether volatility spillover effect of the others stock markets on the Shanghai stock market exist through building phased Copula functions and the Z test of relevant parameters. The results show that the correlation between the indexes and the Shanghai Composite Index is regional, and the relationship between Shenzhen Component Index and Shanghai Composite Index are the strongest, but the whole trend of the indexes volatility is the same, and the other, when subprime motagage crisis occurred and produced the worldwide impact in the 2008, States stock markets all had strong volatility spillover effects on the Shanghai stock market, and this effect is very significant. This indicates that the world's major stock market indexes have significant volatility spillover effects on the Shanghai Composite Index when the financial crisis occur.