A Research on Volatility Spillover Effect between Real Estate Industry Index and other Related Industries Based on MGARCH-BEKK/DCC Model

Abstract

We use the MGARCH-BEKK / DCC model to study the volatility spillover effects and dynamic correlations between industry indexes. We selected indexes for four industries: real estate, raw materials, manufacturing, and banking. The research results show that the real estate industry will be greatly affected by the manufacturing industry, raw materials industry, and banks, and there are two-way fluctuation spillover effects between them. The raw material industry is mainly affected by the manufacturing industry, and it is also affected by real estate and banks, but the impact is relatively small. Banks have influence on the other three industries, especially on the real estate and manufacturing industries. Manufacturing mainly affects the real estate and raw materials industries, but it has less impact on banks. In addition, the DCC coefficient between stock indexes is positive for most of the time period. The dynamic correlation between the real estate index and ICBC stocks, and the dynamic correlation between the raw material index and ICBC stocks have significant asymmetry, and to some extent, their fluctuation characteristics are similar.