Abstract: The research on spillover of financial risk is essential to avoid financial risk spillover from one country, region or market to another one.In former literatures, the spillover in the first two moments which includes spillover in mean and variance, are discussed.Based on univariate GARCD-JSU model, the three factors models, including word, regional and individual factors, have been proposed in the paper.The spillover effects in higher moments risk are decomposed into word, regional and idiosyncratic components to investigate the spillover effects in financial higher moments risk.Finally, some major countries and regions in Asia are chosen for empirical analysis.

Key words: GARCD-JSU model, factor model, JSU distribution, risk spill over, higher moments