Simulation of financial risk spillover effect based on ARMA-GARCH and fuzzy calculation model

Abstract

Convergence and spillover are the characteristics shown in the process of financial development. By verifying whether there is convergence and spillover in financial development within a certain region and between regions, the stage of financial development in the region can be more accurately judged. This paper combines the actual needs of financial analysis to construct a financial risk spillover effect model based on ARMA-GARCH and fuzzy calculation. The model uses ARMA-GARCH and fuzzy algorithm to verify the financial multiple risk factors. Moreover, in order to verify the effect of the model, this paper uses case data analysis to study the model effect and combines mathematical statistics to process the model data. The research results show that the model constructed in this paper has a certain effect, and the ARMA-GARCH model is suitable for analysis and research on financial risk spillover effects. At the same time, when the statistical distribution is used to fit its error distribution, the fitting and prediction effect of the model is better.