多元GARCH模型在国内企业债券波动传递研究中的应用

Applications of multivariate GARCH models in the study of volatility transmission of Chinese corporate bonds

利用多元GARCH模型研究国内企业债券信用价差的波动传递问题,考察了企业债券信用价差序列的波动持续性和信用价差序列间的波动溢出效应.研究表明,相同或相关产业的企业债券表现出双向的波动溢出效应,而上游产业对下游产业企业债券的波动有显著影响,存在单向的波动溢出效应.

A multivariate GARCH model is used to investigate the volatility transmission between the credit spreads of Chinese corporate bonds. The volatility persistence of credit spread series of Chinese corporate bonds and the volatility spillover between them are also examined. The empirical results indicate that reciprocal volatility transmission exists between the credit spreads of the alike or related industry＇s bonds, and the volatility spillover from upriver industry to downriver industry is significant.