Study of the Spillover Effect Based on the Binary GED-GARCH

摘要

Since the ARCH and GARCH models are imposed, the application of them appears in many research and practice fields, but the Normal distribution assumption of the errors cannot describe the character of the fat tails. So the generalized error distribution is imposed. Meanwhile the main stock markets in the world appear the strong correlates between each other and Spillover Effect. This article research the Spillover Effect based on the Binary GED-GARCH.