财贸研究
財貿研究
재무연구
Finance and Trade Research
2014年
5期
99~106
,共null页
期货市场 传染性风险 独立成分分析 GARCH模型
期貨市場 傳染性風險 獨立成分分析 GARCH模型
기화시장 전염성풍험 독립성분분석 GARCH모형
futures market; contagious risk; independent component analysis; GARCH model
为比较全球金融危机爆发前后期货市场间传染性风险的强弱，以2008年1月为界，将数据样本分为两个时间窗口，分别建立ICA—TGARCH—M模型进行实证检验。结果显示，金融危机爆发后，国内外期货市场间波动溢出效应显著增加，表明传染性风险在各期货市场间表现明显。ICA—TGARCH—M模型不仅验证了全球主要期货品种间风险溢出的显著性，而且反映出期货市场风险溢出的主要来源，并为多元GARCH模型的降维提供了有效方案。
為比較全毬金融危機爆髮前後期貨市場間傳染性風險的彊弱，以2008年1月為界，將數據樣本分為兩箇時間窗口，分彆建立ICA—TGARCH—M模型進行實證檢驗。結果顯示，金融危機爆髮後，國內外期貨市場間波動溢齣效應顯著增加，錶明傳染性風險在各期貨市場間錶現明顯。ICA—TGARCH—M模型不僅驗證瞭全毬主要期貨品種間風險溢齣的顯著性，而且反映齣期貨市場風險溢齣的主要來源，併為多元GARCH模型的降維提供瞭有效方案。
위비교전구금융위궤폭발전후기화시장간전염성풍험적강약，이2008년1월위계，장수거양본분위량개시간창구，분별건립ICA—TGARCH—M모형진행실증검험。결과현시，금융위궤폭발후，국내외기화시장간파동일출효응현저증가，표명전염성풍험재각기화시장간표현명현。ICA—TGARCH—M모형불부험증료전구주요기화품충간풍험일출적현저성，이차반영출기화시장풍험일출적주요래원，병위다원GARCH모형적강유제공료유효방안。
In order to compare the degree of contagious risk among futures markets before and after global financial crisis broke out, this paper divides the data sample into two time windows by setting Jan. 2008 as the boundary, and ICA-EGARCH-M model is established for empirical test. The result shows that after the financial crisis broke out, volatility spillover effects among domestic and overseas futures markets have increased obviously, which means that contagious risk is obvious among futures markets. ICA- EGARCH-M model not only verifies the existence of risk spillover effect, but also reflects the main source of volatility spillover. Thus an effective scheme is provided for studies on volatility spillover of high-dimen- sional financial time series.
