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Based on intraday 5-min high-frequency dataset, this paper empirically analyzes the intraday dynamic relationships between China’s CSI 300 index futures and spot markets with vector autoregression (VAR) and multivariate GARCH (MGARCH) models. By comparing four VAR–MGARCH models (dynamic conditional correlation, constant conditional correlation, diagonal and BEKK), the VAR–DCC–MGARCH model is found...
This paper employs the VAR-MGARCH models to investigate the price causal relationships and volatility spillovers effects between the CSI 300 index futures and spot markets in China. The 5 min high-frequency data from January 4, 2013 to October 31, 2013 are used. Four different multivariate GARCH models (BEKK, diagonal, constant conditional correlation, and dynamic conditional correlation) are compared...
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