Volatility spillover can cause successive and similar volatilities in different markets even financial or economic crises. Many related studies have been presented to analyze it from theoretical and empirical perspectives. However, can this phenomenon show or forecast the important market emergency? How to match them and then provide valuable investment and management suggestions? This could be an interesting topic and also the main issue in this study. In this paper, we first design a new dynamic volatility spillover index (DVSI) to quantitatively measure the volatility spillover effect and its dynamic trends. Furthermore, we further propose the market emergency matching (MEM) model to match the dynamic volatility spillover effect with the market emergency. Thus, we can predictively deal with the market emergency from the dynamic volatility spillover perspective, which could be more effective and valuable in studying this financial phenomenon. Lastly, an empirical investigation of nine international energy markets is given in detail to show these new methods. We find that the proposed methods can not only show the features of the volatility spillover phenomenon among energy markets but also forecast the energy market emergencies and their development trends, which is an important contribution of this study. Thus, this paper provides a new tool to analyze market emergencies and their risk even financial crises.

中文翻译：

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动态波动溢出与市场紧急情况：匹配与预测

波动溢出可能导致不同市场连续、类似的波动，甚至引发金融或经济危机。许多相关研究已经从理论和实证的角度对其进行了分析。然而，这种现象能否预示或预示重要的市场紧急情况呢？如何匹配他们，进而提供有价值的投资和管理建议？这可能是一个有趣的话题，也是本研究的主要问题。在本文中，我们首先设计了一种新的动态波动溢出指数（DVSI）来定量衡量波动溢出效应及其动态趋势。此外，我们进一步提出市场紧急匹配（MEM）模型，将动态波动溢出效应与市场紧急情况相匹配。因此，我们可以从动态波动溢出的角度来预测性地应对市场紧急情况，这对于研究这种金融现象可能更加有效和有价值。最后，对九个国际能源市场进行了详细的实证调查，以展示这些新方法。我们发现，所提出的方法不仅可以揭示能源市场间波动溢出现象的特征，还可以预测能源市场突发事件及其发展趋势，这是本研究的重要贡献。因此，本文提供了一种分析市场紧急情况及其风险甚至金融危机的新工具。