Applied Research Of Multiple GARCH Model In Volatility Spillover Effect Between The Treasury Futures And Spot Markets

As an important component of the financial market,Treasury bill provides an important financing function for China's economic development.Because of Treasury bill market's segmentation state,its reasonable pricing has not yet been effectively realized.However,after the restart of Treasury futures market,the Treasury bill price can be effectively predicted by Treasury futures price discovery function,so researching spillover effects between Treasury futures and spot have important application value for investors to hedge,speculate and portfolio.We will research spillover effects between Treasury futures and spot markets from following three aspects.Firstly,based on the VARMA-AGARCH model,spillover effects and leverage effects between the Treasury futures and spot are tested.The results show that there are two-way spillover effects between the two markets,and the Treasury futures has stronger price conduction ability to spot;Treasury futures and spot volatility have leverage effects,and there is leverage effect in the volatility spillover effect from Treasury spot market to futures market.Secondly,based on the prediction error variance decomposition method of VAR model,the spillover index is constructed to measure the return spillover and volatility spillover between Treasury futures and spot,Information transmission behavior between Treasury futures and spot markets are analyzed based on two aspects,one is average level,the other is dynamic change.The results show that the return spillover effect between Treasury futures and spot markets is stronger than volatility spillover effect;the overall trend of return spillover and volatility spillover is almost consistent,whether it is return spillover or volatility spillover,there mainly exist spillover effect from Treasury futures to spot.Finally,based on the VAR model and impulse response function,the relationship among Treasury futures trading volume,spot trading volume and interest rates variable is analyzed.The results show that the total volatility spillover index between Treasury futures and spot is affected by the Treasury spot trading volume,in the current period,after giving a positive shock to the futures trading volume,the spot trading volume,and the interest rate variable,the spillover index of Treasury futures and spot will fluctuate slightly in the next 1-3 periods.