Common Volatility Spillover Analysis and Empirical Study on the Financial Market Based on PCA-SV Model

摘要

It is very important to mensurate volatility spillover for the dynamic investment portfolio and risk management.The known data have shown that SV model is better than GARCH models in describing volatility of the financial market.There are few documents to study volatility spillover of the financial market with SV model,and even fewer documents to study common volatility spillover from the multi-financial markets to a single financial market with SV model.By using Principal Components,we indicate the common index of volatility of multi-financial markets,With SV model and Principal Components Analysis (PCA-SV),the thesis studies common volatility spillover from the multi-financial markets to a single financial market and carries out an empirical analysis.