Research On Volatility Spillover Of Securities Markets Based On EEMD And Variable Structure Copula Model

With the acceleration of financial liberalization and world economic globalization and the rapid development of financial product innovation, the transmission velocity of information is faster and faster, all countries are becoming closely related in the economic and financial areas. In the Meanwhile, abnormal fluctuations dynamically evolve among securities markets, and have new features as the range of influence extending more widely. In this context, the potential financial risks are further intensified and the volatility spillover effect between securities markets is becoming more and more significant.This paper studies volatility spillover effects from time and frequency domain at the same time, through combining e nsemble empirical mode decomposition with variable Copula model and introducing Granger causality test. Firstly, the theory of volatility spillover research methods in securities markets is explored. Also the definition and characteristics of return volatility and the formation mechanism and transmission mechanism of volatility spillover between securities markets are explored. Then, the research blue print of volatility spillover effects between the two securities markets is discussed, including the ensemble empirical mode decomposition, Granger causality test, also the conformation and estimation of Copula model. Next, the volatility spillover effects between the two securities markets are empirically examined. Finally, some appropriate policy recommendations based on the empirical results are given.The results show that there is unidirectional volatility spillover from China’s securities market to United States securities market in the short-term. However, with the trade cycle increasing, it exists bidirectional volatility spillover effects that gradually increased. Thus, in the process of integration into the international securities markets, China’s securities market should pay attention to the risks from countries or regions which like United States and take corresponding measures.