Abstract: It is very important to measure volatility spillover for the dynamic investment portfolio and risk management.The known literature tends to study whether volatility spillover exists between two financial markets.However,the probability of spillover occurence has not yet been mentioned.On the basis of the researching on the influence probability between two financial markets,the paper introduces quantile to expresse the market risk,and testifies the relationship between the linearity correlation and the influence probability of two financial markets,whereafter,defines the new conception of volatility spillover of the financial market,sets up the regression model and testifies the relationship between the parameters and influence probability with the different linearity correlation,and conducts the empirical analyses.

Key words: quantile, influence probability among the financial markets, volatility spillover, kernel estimating