Copula-MIDAS-TRV model for risk spillover analysis − Evidence from the Chinese stock market

Qin Wang and Xianhua Li

The North American Journal of Economics and Finance, 2024, vol. 74, issue C

Abstract: In this study, a Copula-MIDAS-TRV model with high-frequency realized volatility as the threshold variable is developed for the first time to fit the joint distribution of returns, which takes into account the impact of the leverage effect of volatility on the time-varying interdependence structure among financial markets. Based on this model, we empirically analyze the risk spillover effects between the CSI 300 index and the SSE Composite Index in the Chinese market and test the validity of the model in risk spillover measurement. The empirical findings demonstrate how well the Copula-MIDAS-TRV model, which is the focus of this work, can assess risk spillover effects and analyze the time-varying interdependence between these two indices.

Keywords: Risk spillover; Copula-MIDAS; GJR-GARCH; CoVaR; Leverage effect (search for similar items in EconPapers)
JEL-codes: G15 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001554

DOI: 10.1016/j.najef.2024.102230

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