A Research On Volatility Spillover Effect Of Domestic Stock Market Based On Multivariate GARCH Model

In recent years,China's capital market in operation has shown a new stage characteristics,with more and more high-tech enterprises to log on the GEM,but also a profound change in the capital market components,representing innovation and growth-oriented enterprises GEM in the capital market status has become increasingly prominent,the traditional blue chip as the representative of the Shanghai Composite Index to the small and medium enterprises as the representative of the deep evidence between the one-way volatility overflow path is changing.With the continuous improvement of multi-level capital market,motherboard,small board,the linkage between the GEM gradually increased,fluctuations in the transmission between the three from one-way to two-way diffusion.On the other hand,with the release of stock index futures,the improper use of financing leverage,the shortening of market mechanism and the popularization of mobile Internet technology,the volatility of capital market in China has been greatly increased in recent years.,Simply rely on the closing price information has been completely unable to spread the volatility of the capital market situation,this situation in the fall of 2015,especially reflected in the fall of the cash,and the use of yield rate sequence to study the fluctuations when the passive filter out this part Information,so it is necessary to use a broader indicator to measure the volatility effect,especially in the period of severe volatility of the index.This paper is divided into the following five parts,the specific chapters and content are as follows.The first part,introduction part,mainly studies the background and significance,methods and contents,innovation and shortcomings.The second part,the literature review section mainly introduces the domestic and foreign scholars'research on the modeling of the volatility based on the poor and the BEKK-GARCH model and the DCC-GARCH model in the study of the spillover effect between the two and many markets the study.The third part,theoretical basis,this paper mainly introduces the theoretical basis of the volatility spillover effect,including the synergetic market hypothesis,the economic base hypothesis and the market infection ypothesis,and analyzes the deep reason of the linkage between the stock index.The fourth part,the empirical test and analysis by constructing the BEKK-GARCH model and the DCC-GARCH model,the parameters and graphs of the model are used to judge the SSE index and the Shenzhen Component Index.The GEM refers to the fluctuation spillover effect between the three indices.The fifth part of findings and policy recommendations.Based on the empirical analysis results,it is concluded that there is a two-way fluctuation spillover effect between the SSE index,the Shenzhen index and the GEM index,and the empirical results in the worst sequence are larger than those in the traditional yield series Fluctuation spillover effect.Finally,from the two dimensions of investors and regulators to provide advice.