Testing for volatility co-movement in bivariate stochastic volatility models
Testing for volatility co-movement in bivariate stochastic volatility models
复制标题
双变量随机波动率模型中的波动率联动测试
DOI：
10.14490/jjss.47.13
复制
发表时间：
2017
期刊：
影响因子：
--
通讯作者：
M. McAleer
中科院分区：
文献类型：
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作者：
Jinghui Chen;M. McAleer
本文在多变量随机波动率模型的框架下，研究了波动率的协动性问题，即两个金融收益是否具有完全相关的共同波动过程，并提出了检验波动率协动性的检验方法。该检验是Engle和Susmel（1993）提出的协动检验的随机波动版本，Engle和Susmel（1993）使用Ranking模型的框架研究了国际股票市场是否存在波动协动。在实证分析中，我们发现，紧密关联的股票市场之间存在波动协动性，而汇率市场的波动协动性往往出现在整体波动水平较低的时候，这与金融传染文献中经常引用的金融危机期间金融收益率水平的协动性形成了鲜明对比。
The paper considers the problem of volatility co-movement, namely as to whether two financial returns have perfectly correlated common volatility process, in the framework of multivariate stochastic volatility models and proposes a test which checks the volatility co-movement. The proposed test is a stochastic volatility version of the co-movement test proposed by Engle and Susmel (1993), who investigated whether international equity markets have volatility co-movement using the framework of the ARCH model. In empirical analysis we found that volatility co-movement exists among closelylinked stock markets and that volatility co-movement of the exchange rate markets tends to be found when the overall volatility level is low, which is contrasting to the often-cited finding in the financial contagion literature that financial returns have co-movement in the level during the financial crisis.