Empirical Research On The Contagion Of Subprime Mortgage Crisis Based On The Asymmetry ARCH Model

With the global economic development, countries continue to carry out economiccooperation. But not only these benefits, since twentieth Century,the world have experiencedseveral economic crisis, such as, bank crisis In1907, great depression in1929, blackMonday in1987, savings and loan crisis in1990, Japanese property market bubble in1996,Asian financial crisis in1997, subprime mortgage crisis in2007,etc. This paper is differentfrom the traditional financial contagion research methods, we use generalized autoregressiveconditional heteroskedasticity model on the sample financial time series.This method hasless defined conditions, more complex mathematical theory, fully takes into account thefinancial assets’ important characteristics.It is more close to the reality, has a better fittingeffect.The empirical study on financial infectious is divided into three parts: First,use the financialmarket index data of the subprime mortgage crisis of the United States to make amathematicalmodel to analysis, which proves the financial leverage effect; Second, weclassify the countries from the perspective of geographical position and the perspective ofeconomic development, make a mathematical model with sample data, and then make aquantitative comparison on the financial crisis impact effect (impact strength, scope,etc.)among the sample countries; Third, Study the market volatility spillover effect onChina’s financial market, developed financial market,emerging financial market, frontierfinancial market during the subprime mortgage crisis period.This article usesthe asymmetricARCH model to make an empirical analysis in order to overcome the defects of thetraditional research methods, to provide a series of new ideas and vision about the furtherstudy on financial contagion.