国内资本市场的风险联动性分析——基于混频数据动态相关和波动溢出指数模型  

Analysis of risk linkage in the domestic capital market based on DCC-MIDAS and volatility spillover index model

作　　者：李荣富 张鹏程 LI Rongfu;ZHANG Pengcheng(Business School,Chizhou University,Chizhou 247000)

机构地区：[1]池州学院商学院,安徽池州247000

出　　处：《池州学院学报》2024年第3期80-85,共6页Journal of Chizhou University

摘　　要：选取2005年4月8日-2023年6月30日上海证券综合指数、深证成份指数、沪深300指数的日内价格数据,以国内资本市场三大指数的高频率日收益率及其低频率月度已实现波动率为分析变量,运用DCC-MIDAS和波动率溢出指数模型,从长短期波动率分解、动态相关性和波动溢出效应等三个维度估计并分析国内资本市场风险联动性的数量特征,表现为国内资本市场在样本期间波动风险的联动性具有相互关联性的常态化特征,得出国内资本市场在样本期内短期波动风险高度显著,而其长期波动风险不显著;国内资本市场在短期和长期均具有动态相关性;国内资本市场金融风险容易传染,市场内部金融风险传染的方向和强度具有动态性,并识别出金融风险的主要传播源为沪深300;提出了宏观主体和微观主体形成合力共同促进资本市场和实体经济的繁荣和稳定,实现经济和金融高质量发展的建议。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.

关 键 词：DCC-MIDAS 风险联动性 波动溢出指数 高频数据 

分 类 号：F83[经济管理—金融学]