A Study of the Volatility Spillover Effects of China's Exchange and Stock Markets:Empirical analysis based on GARCH family model
This paper analyzes the volatility spillover effects and their asymmetry in China's foreign exchange rate market and stock market after the epidemic using the GARCH family system.The empirical results find that:first,at the volatility spillover level,the BEKK-GARCH model results indicate that there is a unidirectional,asymmetric vol-atility spillover effect from the stock market to the exchange rate market.Second,the TGARCH model suggests that there is asymmetry in both the stock and exchange rate markets,and that the volatility induced by bad news is greater than that induced by equivalent good news in both the stock and exchange rate markets.Third,the DCC-GARCH model shows that there is a positive dynamic correlation between stock market rise and RMB appreciation,and the cor-relation is getting stronger.Based on this,this paper puts forward relevant policy recommendations in terms of impro-ving the RMB exchange rate formation mechanism,strengthening cross-border capital supervision,and steadily promo-ting the expansion and opening up of the capital account.
RMB Exchange RateBEKK-GARCH ModelTGARCH ModelDCC-GARCH Model
NETL
NSTL
万方数据
维普
