Common Volatility Spillover Analysis and Empirical Study on the Financial Market Based on the Independent Components

Abstract

It is very important to mensurate volatility spillover for the dynamic investment portfolio and risk management. The known literature tend to study whether volatility spillover exists between two financial markets. However, common volatility spillover from multi-financial markets to one financial market has not yet been mentioned. By first using independent components analysis (ICA) and GARCH model, we study common volatility spillover from the multi-financial markets to one financial market and conduct the empirical analysis