Abstract: The TV-Copula-X model was constructed with the addition of an exogenous variable the dynamic Copula function. Based on the definition of ‘volatility surprise’, the dependence structures of the BRICS were studied from the perspectives of mean spillover and volatility spillover, and whether the structures would be affected by the US stock market. The data of the BRICS and the US stock markets was selected for empirical research. The results show that the BRICS have significant dependence from the aspects of return and volatility. There are asymmetric dependent structures between the volatility of the BRICS but only some countries of BRICS have asymmetric dependent structures between their yields. The US stock market has a certain impact on the interdependence of some BRICS countries, and the correlation between the BRICS stock markets will increase when a financial crisis or positive events occurs.

Key words: BRICS, ‘volatility surprise’, the TV-Copula-X model, mean spillover, volatility spillover