The Research Of Volatility Spillover Effect Between The Foreign Exchange Market And The Stock Market Based On BEKK-MVGARCH Model

Chinese stock market and foreign exchange market fluctuated violently in the second half of 2015,and the financial market entered "Black Month"".Risk is the essence of volatility,and the transmission of risk can also be carried out by volatility spillover effect.The main media of the linkage among the financial markets is complex information and coordinated movement between markets.There are two forms of this coordinated movement,one is the average spillover effect of financial markets and the other is the volatility spillover effect of financial markets.Therefore,it is significant to research the volatility spillover effect of foreign exchange market and stock market to prevent China's financial risks.Risk prevention is also a key issue in China's financial market.Firstly,the foreign exchange market and the stock market are taken as the object of study,based on two variable BEKK-MVGARCH model,depicting the correlation between data volatility in China's financial markets on the basis of the overall grasp of the characteristics of the time series of foreign exchange markets and stock markets.And researching the transmission direction of volatility spillover effect and volatility spillover effect between the foreign exchange market and the stock market.The results show that volatility spillover exists between China's foreign exchange market and the stock market,and the direction of volatility spillover is spillover from the foreign exchange market to the stock market.Secondly,through the method of uniform design sampling,resea rching how much volatility fluctuates in the future of the volatility spillover effect between the two markets and how big is the probability of the volatility.This study widens the research area of uniform design sampling method,it makes a useful supple ment to the volatility spillover effects of China's foreign exchange market and the stock market to a certain extent.The results show that the volatility spillover effect will occur with a probability of 88% and with a fluctuation of diverging 0.23.The short-term dynamic index can provide the decision-making basis for short-term foreign exchange hedging activities.Finally,according to the empirical conclusions,putting forward some countermeasures and suggestions from the control the risk source,streng thening the risk sensitive market and cutting off the risk transmission way.