Abstract: As a kind of discounted fund traded in exchanges,closed-end funds attract many institutional investors and individual investors.However,the study on closed-end funds market volatility is limited.Few studies always hardly capture the effect of extreme risk of the closed-end funds market on the conditional volatility of other market.In this paper,CGARCH model and Granger Causality Test are applied to examine the relations between Shenzhen closed-end fund index and other 13 indices of fund,A share market,B share market,simulated stock index futures and bond markets with respect to both the conditional volatility and extreme risk spillover effect.The results show that the closed-end funds index is correlated with B share market,simulated index futures and bond markets greatly,and it is capable of leading the fluctuation of B share market,simulated index futures and bond's markets.On the other hand,it is somewhat vulnerable to the risks from fund,simulated stock index futures,share and bond markets.Our conclusion helps to guide the regulators and investors to recognize the influence of closed-end fund market properly and be conscious of risk control.

Key words: volatility, CGARCH, Granger Causality Test, extreme risk