Abstract: Independent Component Analysis(ICA)is introduced to study volatility spillovers from financial derivative markets to basic markets.It remedies the deficiency of using traditional methods to solve high dimensional financial time series volatility problem in the past.By comparing with multiv ariate GARCH models,such as VECH,BEKK and DCC,ICA-EGARCH-M model in this paper shows some advantages of solving high dimensional problem.In empirical study,ICA-EGARCH-M model is employed to examine volatility spil lovers effects from stock index futures and spot markets of the US,UK,Japan and Hongkong to Chinese stock market.The results show that the ICA-EGARCH-M model not only confirms that there exists volatility spillovers,but also reflects the main resource of volatility spillovers.It can better resolve volatility spillovers problem of high dimensional financial time series.

Key words: financial markets, stock index futures, volatility spillovers, independent component analysis, GARCH model