门限向量乘积误差模型对沪深两市波动溢出分析

Fluctuated Spillovers between Shanghai and Shenzhen Stock Market Based on Threshold Vector Multiplicative Error Model

本文提出创新性模型即门限向量乘积误差模型(TVMEM),这种新模型是将向量乘积模型(VMEM)与机制转换的门限自回归模型相结合。利用TVMEM分析沪深两市的已实现波动率,发现沪市的内在机制促使沪深两市波动溢出具有显著非线性和非对称性特点。基于TVMEM考虑机制转换问题能够有效分析变量间的信息传导方向,这一点优于已有的分析波动溢出模型。

This paper presents a new model called Threshold Vector Multiplicative Error Model （TVMEM）. TVMEM is ob- tained by the combination of the Vector Multiplicative Error Model （VMEM） and threshold autoregressive model, which is considered the internal system transformation. It has the significantly asymmetric and nonlinear characteristics with the help of Shanghai stock market＇ internal mechanism. Considering regime switching, which is based on TVMEM, can be obtained effectively the direction of information transmission among variables. This is better than the existing mod- el analysis of volatility spillover.