Analysis of risk linkage in the domestic capital market based on DCC-MIDAS and volatility spillover index model
This paper selects the intraday price data of Shanghai Securities Composite Index,Shenzhen Composite Index and CSI 300 Index from April 8,2005 to June 30,2023,takes the high frequency daily return rate of the three major indexes in the domestic capital market and their low frequency monthly realized volatility as the analysis variables,and uses DCC-MIDAS and volatility spillover index model to estimate and analyze the quantitative characteristics of risk linkage in the domestic capital market from three dimensions:decomposition of long and short term Volatilities,dynamic correlation and volatility spillover effects.The linkage of volatility risk in the domestic capital market during the sample period has a normalized characteristic with mutual correlation.it is concluded that the short-term volatility risk in the domestic capital market is highly significant during the sample period,while its long-term volatility risk is not significant;the domestic capital market has dynamic correlation in both the short and long term;financial risks in the domestic capital market are prone to contagion,and the direction and intensity of financial risk contagion within the market are dynamic,which helps to identify the main sources of financial risk transmission as the Shanghai and Shenzhen 300.Suggestions have been put forward to jointly promote the prosperity and stability of the capital market and the real economy through the formation of macro and micro entities,and to achieve high-quality economic and financial development.
DCC-MIDASRisk linkageVolatility spillover indexHigh frequency data
万方数据
