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Empirical Analysis of Volatility Spillover Effects in International Financial Markets

Volatility spillover effect in international financial markets is one of the principal issues that widely attract academic and industrial scholars’ attention. Through constructing a binary GARCH-BEKK model, this study empirically tests the volatility effects among stock market, gold market, WTI crude oil futures market and spot market, and concludes that there is bidirectional volatility spillover effect between stock market and gold market, WTI crude oil futures market and spot market, and unidirectional volatility spillover effect among other markets. The test results indicate the direction of volatility spillover and the information conduction path in the international financial market, and it has an important role in enlightening and guiding investors.