中文摘要：

为比较全球金融危机爆发前后期货市场间传染性风险的强弱，以2008年1月为界，将数据样本分为两个时间窗口，分别建立ICA—TGARCH—M模型进行实证检验。结果显示，金融危机爆发后，国内外期货市场间波动溢出效应显著增加，表明传染性风险在各期货市场间表现明显。ICA—TGARCH—M模型不仅验证了全球主要期货品种间风险溢出的显著性，而且反映出期货市场风险溢出的主要来源，并为多元GARCH模型的降维提供了有效方案。

英文摘要：

In order to compare the degree of contagious risk among futures markets before and after global financial crisis broke out, this paper divides the data sample into two time windows by setting Jan. 2008 as the boundary, and ICA-EGARCH-M model is established for empirical test. The result shows that after the financial crisis broke out, volatility spillover effects among domestic and overseas futures markets have increased obviously, which means that contagious risk is obvious among futures markets. ICA- EGARCH-M model not only verifies the existence of risk spillover effect, but also reflects the main source of volatility spillover. Thus an effective scheme is provided for studies on volatility spillover of high-dimen- sional financial time series.