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中文摘要：
对于动态投资组合与风险管理来说，测定金融市场之间的波动溢出是非常重要的。在已有的文献中往往是研究两个金融市场之间是否存在波动溢出，多个金融市场对一个金融市场的协同波动溢出则未提及。本文使用独立成分分析（ICA）来消除多个金融市场波动之间的相关性，使用GARCH模型研究多个金融市场对一个金融市场的协同波动溢出，并进行了实证分析。
英文摘要：
It is very important to mensurate the volatility spillover between financial markets for the dynamic investment portfolio and risk management. The known literatures tend to study whether the volatility spillover exists between two financial markets. However, the common volatility spillover of the Multi - financial Markets to a single financial market has not yet been mentioned. This paper adopts Independent Components Analysis （ICA） to eliminate the relevance relationship between volatilities of multi - financial markets, and adopts GARCH model to study the common volatility spillover of the multi - financial markets to single financial market and conducts the empirical analysis.
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