| 多元GARCH模型在国内企业债券波动传递研究中的应用 |
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| 引用本文： | 肖喻,肖庆宪.多元GARCH模型在国内企业债券波动传递研究中的应用[J].上海理工大学学报,2007,29(5):485-490. |
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| 作者姓名： | 肖喻 肖庆宪 |
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| 作者单位： | 上海理工大学,管理学院,上海,200093 |
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| 基金项目： | 上海市重点学科建设项目 |
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| 摘 要： | 利用多元GARCH模型研究国内企业债券信用价差的波动传递问题,考察了企业债券信用价差序列的波动持续性和信用价差序列间的波动溢出效应.研究表明,相同或相关产业的企业债券表现出双向的波动溢出效应,而上游产业对下游产业企业债券的波动有显著影响,存在单向的波动溢出效应.
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| 关 键 词： | 多元GARCH模型 企业债券 波动传递 波动溢出 |
| 文章编号： | 1007-6735（2007）05-0485-06 |
| 修稿时间： | 2006-12-25 |
Applications of multivariate GARCH models in the study of volatility transmission of Chinese corporate bonds |
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| XIAO Yu,XIAO Qing-xian.Applications of multivariate GARCH models in the study of volatility transmission of Chinese corporate bonds[J].Journal of University of Shanghai For Science and Technology,2007,29(5):485-490. |
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| Authors: | XIAO Yu XIAO Qing-xian |
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| Institution: | Business School, University of Shanghai for Science and Technology, Shanghai 200093, China |
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| Abstract: | A multivariate GARCH model is used to investigate the volatility transmission between the credit spreads of Chinese corporate bonds.The volatility persistence of credit spread series of Chinese corporate bonds and the volatility spillover between them are also examined.The empirical results indicate that reciprocal volatility transmission exists between the credit spreads of the alike or related industry's bonds,and the volatility spillover from upriver industry to downriver industry is significant. |
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| Keywords: | multivariate GARCH model corporate bond volatility transmission volatility spillover |
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