Research Of Early Warning Index Of Chinese Financial Crisis Based On Higher-order Moment Fluctuation

Financial crisis is a core issue of modern finance. Especially in recent years,the outbreak of the US sub prime mortgage crisis and European debt crisis and big bang in the domestic stock market today caused the extensive concern of scholars on the financial crisis.The higher order moment of volatility in the financial crisis is a hot spot of research in recent years and it measures the risk of the financial crisis instead of the variance in general research.And this article innovates by building a financial data of higher order moment indicators of the financial crisis early warning index.it has a vital significance to the deep mining of the trends,spatial spillover and short-term prediction of the early warning index in the financial crisis.This paper systematically reviews the existing results about early warning indicators and early warning model. Then emphatically expounds the characteristics and causes of higher-order moment volatility of the financial crisis.And then select four departments data from January 2002 to May 2015.And on this basis,this article constructed the Chinese financial crisis early warning index with higher-order moment part by using the sem and weighting method. In the empirical part,this paper obtained the trend features which are endogenous,three sections of clustering, filtering trend.And we obtained the spatial spillover features.The first feature is that the US and German get the highest effects of spatial spillover,and the second one is that the largest comprehensive correlation of skewness and kurtosis is greater than the correlation of index.Finally,we got the short-term prediction which is that the new trend of early warning index is lower than before but rise slowly in resent.