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

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  • Wang, Qin
  • Li, Xianhua

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.

Suggested Citation

  • Wang, Qin & Li, Xianhua, 2024. "Copula-MIDAS-TRV model for risk spillover analysis − Evidence from the Chinese stock market," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
    • Handle: RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001554
    DOI: 10.1016/j.najef.2024.102230
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    More about this item

    Keywords

    Risk spillover; Copula-MIDAS; GJR-GARCH; CoVaR; Leverage effect;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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