| This paper based on the time background with the rapid development of science and technology,in which the risk of financial market contagion effects show the character of high speed and frequent,apply the BAYES-DCC-GARCH model and MCMC method with 1 min data to study the risk contagion and the dynamic conditional correlation between the IC,IF,IH stock index futures,and the dynamic risk contagion between these stock index futures and their stock index,and between these stock index futures and treasury bond futures.The results show that these financial return sequences have fat-tailed features indeed,and the there are volatility clustering.The bigger of the volatility in last 1 min,the slower of the volatility decrease.The time series of IC,IF,and IH are right-skewed.On the other hand,the time series of their index are left-skewed.In the cross-sectional study module,the results showed that the fluctuation of IC stock index futures risk is greater than the IF stock index futures,IH fluctuations in stock index futures risk,and IH the stock index futures volatility risk is greater than the IF the stock index futures risk.Therefore,IF stock index futures is the most stable in three stock index futures market.Across the market research module,the result shows that the fluctuation of stock index futures market to a greater extent than Treasury bonds futures volatility,and bond futures volatility risks were greater than three stock index futures volatility risk.In the end,there is positive risk contagion between the three stock index futures and their stock index respectively.And,there is positive risk contagion between each other of the three stock index futures.In addition,the risk contagions between stock index futures each other are stronger than the risk contagions between stock index futures and stock index.On the contrary,there is only weak negative risk contagion between the three stock index futures and the treasury bond index respectively. |
