中国股市和债市波动溢出效应的MV-GARCH分析被引量：38

The Study on the Volatility Spilllover Effect between the Chinese Stock Market and Bond Market Based on the MV-GARCH Model

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摘要股市和债市的波动溢出效应是研究金融市场信息流动、风险传递的重要内容。在估计了股市和债市候选MV-GARCH模型参数基础上,通过AIC准则等拟合优度方法选择了t分布型BEKK为最优模型,因为它更好的捕捉到了金融时序尖峰、厚尾的特征.结果显示,中国股市和债市波动溢出具有明显时变特征,波动影响不对称,股市对债市影响大于债市对股市影响。动态相关系数偏弱说明两个市场在资源配置能力、信息流动等方面存在显著的缺陷. The study on the volatility spilllover effect between stock market and bond market is important to realize the information flow and risk transfer. After the parameters of the Candidate MV-GARCH model estimated, T-BEKK model is the optimal model by AIC test and so on,since it captures the features of financial peak time and the tail better. From model parameters and dynamic correlation coefficient, time-varying and asymmetric is the feature of the volatility spilllover effect between China＇s stock market and bond market . Dynamic correlation coefficient is small, which shows that there are obvious flaws on the allocation of resources and the flow of information between the two markets.

作者王璐庞皓

机构地区西南交通大学数学系西南财经大学统计学院

出处《数理统计与管理》 CSSCI 北大核心 2009年第1期152-158,共7页 Journal of Applied Statistics and Management

基金国家社会科学基金资助项目(05BJY098)资助西南交通大学青年教师科研起步项目2008Q70资助。

关键词股票市场债券市场波动溢出效应 MV—GARCH stock market, bond market, volatility spillover effect, MV-GARCH

分类号 F224.2 [经济管理—国民经济]

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