The characteristics of financial asset price fluctuations in China- based on GARCH model

This study investigates the volatility dynamics across five major financial markets—money, stock, bond, foreign exchange, and gold—using monthly data from 2004 to 2023. Employing GARCH-type models, including TGARCH and DCC-GARCH. Our findings reveal three significant insights. First, market prices exhibit pronounced clustering behavior. Second, both the stock and gold markets demonstrate significant leverage effects, with negative shocks having a substantially greater impact than positive ones. Third, there are significant volatility spillover effects between financial markets. Notably, there are particularly robust correlations between the stock and bond markets, as well as the stock and gold markets. These findings enhance the understanding of cross-market volatility transmission and provide implications for strengthening risk monitoring, optimizing leverage management, and designing diversified financial instruments to improve market stability.