基于ICA-SV模型的金融市场协同波动溢出分析及实证研究

Common Volatility Spiilover Analysis and Empirical Study on the Financial Market Base on SV Model

对于动态投资组合与风险管理来说,测定波动溢出效应是非常重要的.已有的文献证明SV模型比GARCH模型能够更好地刻画金融市场的波动,使用SV模型研究两个金融市场间波动溢出的文献并不多见,而使用SV模型研究多个金融市场对一个金融市场协同波动溢出的文献则更为少见.本文以独立成分表示金融市场波动的协同指标,提出了独立成分SV模型(ICA-SV),并研究了多个金融市场对一个金融市场的协同波动溢出,实证结果验证了ICA-SV模型在分析金融市场协同波动溢出是可行的.

It is very important to mensurate the volatility spillover for the dynamic investment portfolio and risk management. The known literature have showed that describing the volatility of financial market with SV model is better than GARCH models. There are few literatures to study volatility spillover of the financial market with SV model, and even fewer literatures to study common volatility spillover from the Multi-financial Markets to a single financial market with SV model. By using Principal Components, we indicate the common index of volatility of muhi-financial markets. The thesis proposes Independent Components Analysis SV model （ICA-SV）, and studies the common volatility spillover of the multi-financial markets to single financial market, the empirical results show that ICA-SV model in the analysis of common volatility spillover of financial market is feasible.