基于GARCH-Copula-CoVaR模型的风险溢出测度研究

Research on Risk Spillover Strength Based on GARCH-Copula-CoVaR Model

本文根据GARCH-Copula-CoVaR模型,对亚洲三大股票市场指数间的风险溢出效应进行实证研究,结果表明:HSI和N225存在显著的双向即时风险溢出效应,而在滞后1期,只存在显著的从HSI到N225的单向风险溢出效应;HSI和SHZ亦存在显著的双向即时风险溢出效应,但在滞后1期以上不存在风险溢出效应;N225和SHZ在所有滞后期均不存在风险溢出效应;以代表的平均风险溢出强度为4.4%,SHZ和HSI间的风险溢出效应强于N225与HSI间的风险溢出效应。

Using GARCH-Copula-CoVaR model,we analyze the risk spillover effect among three major stock markets in Asia.The empirical results show that the immediate risk spillover effect between N225 and HSI is bi-directional;however there exists only unidirectional risk spillover effect from HSI to N225 for 1-period lag.There also exists bi-directional immediate risk spillover effect between HSI and SHZ,but there has no risk spillover effect in lagged period.No risk spillover effect is found between N225 and SHZ.The average strength of risk spillover effect represented by %CoVaR is 4.4%.The risk spillover effect between SHZ and HSI is stronger than N225 and HSI.