Abstract: With monthly price data of three animal products pork, beef and mutton from January 2001 to March 2019, the spillover effect within animal products price was studied by using VEC-BEKK-GARCH(1,1) model and spillover index. It was shown that there was a significant (P<0.05) two-way mean spillover effect between the market of pork and beef, as well as the market of beef and mutton, while there was only one-way mean spillover effect from the pork market to the mutton market. The volatility spillover effect within the price of livestock products was obvious, which contributed 38% to the total forecast error variance, and the spillover effect lasted six months. In the short term, the spillover effect of pork price shocks on beef and mutton price shocks was relatively weak, only 6.8% and 0.94% respectively. In the long term, the spillover effect was enhanced, and the total spillover effect on beef and mutton price shocks reached 39.9%. At the same time, the shock of pork prices was also affected by other price, up to 19.1%. The two-way volatility spillover effect between beef and mutton prices was obvious, about 27.5%. The spillover effect between the price of livestock products posed a challenge to the regulation of livestock products prices. Therefore, the spillover direction and extent between livestock products prices should be fully considered to improve the early warning mechanism of livestock products prices.

Key words: livestock products price, spillover effect, BEKK-GARCH(1,1) model, spillover index