scholarly journals Measuring Spot Variance Spillovers when (Co)variances are Time-varying - The Case of Multivariate GARCH Models

2017 ◽  
Vol 80 (1) ◽  
pp. 135-159 ◽  
Author(s):  
Matthias R. Fengler ◽  
Helmut Herwartz
Keyword(s):  
Multivariate Garch ◽  
Garch Models ◽  
Time Varying ◽  
Multivariate Garch Models

scholarly journals Testing the conditional correlations and volatility spillovers between US and ASEAN Islamic stock markets: A Multivariate GARCH Analysis

2015 ◽  
Vol 2 (1) ◽  
pp. 029
Author(s):  
Muhammad Rizky Prima Sakti
Keyword(s):  
Stock Markets ◽  
Multivariate Garch ◽  
Garch Models ◽  
Time Varying ◽  
Foreign Investors ◽  
Volatility Spillovers ◽  
The Us ◽  
Conditional Correlations ◽  
Multivariate Garch Models ◽  
Empirical Design

This study examines the conditional correlations and volatility spillovers between the US and ASEAN Islamic stock markets. The empirical design uses MSCI (Morgan Stanley Capital International) Islamic indexes as it adopted stringent restriction to include companies in sharia list. By using a three multivariate GARCH models (BEKK, diagonal VECH, and CCC model), we find evidence of returns and volatility spillovers from the US to the ASEAN Islamic stock markets. However, as the estimated time-varying conditional correlations and volatilities indicate there is still a room for diversification benefits, particularly in the single markets. The Islamic MSCI of Thailand, Indonesia, and Singapore are less correlate to the US MSCI Islamic index. The implication is that foreign investors may benefit from the reduction of risk by adding the Islamic stocks in those countries.

scholarly journals An application of multivariate GARCH models in research for the interaction of world financial markets

Equilibrium ◽  
2009 ◽  
Vol 2 (1) ◽  
pp. 61-68
Author(s):  
Tomasz Chruściński
Keyword(s):  
Financial Markets ◽  
Stock Markets ◽  
Multivariate Garch ◽  
Garch Models ◽  
Data Sets ◽  
Conditional Correlation ◽  
Main Emphasis ◽  
Multivariate Garch Models ◽  
Diagonal Vech

This article presents information about taxonometric methods in classification stock-markets and selected Multivariate GARCH models. The main emphasis is placed on which market (country) influences others. Research has been geared towards three kinds of measurement: diagonal VECH models, diagonal BEKK models and Constant Conditional Correlation. The results obtained for the DBEKK model is optimal for most data-sets.

scholarly journals Empirical Analysis of “Volatilitysurprise” between Dollar Exchange Rate and CRB Commodity Future Markets

2016 ◽  
Vol 8 (9) ◽  
pp. 117
Author(s):  
Ching-Chun Wei
Keyword(s):  
Exchange Rate ◽  
Multivariate Garch ◽  
Garch Models ◽  
Suitable Model ◽  
Dollar Exchange Rate ◽  
Short And Long Term ◽  
Multivariate Garch Models ◽  
Commodity Future ◽  
Equity Index

This paper used the five multivariate GARCH models (including BEKK, CCC, DCC, VARMA-CCC and VARMA-DCC) to analyze the mean and volatility interaction of volatility surprise between US dollar exchange and CRB future index (including agricultural, energy, commodity and precious metal equity index). The empirical findings exhibit that significant own short and long-term persistence effects and the cross-markets volatility surprise spillover short and long-term persistence effects between dollar exchange rate and CRB commodity future equity index markets in five multivariate GARCH models. Besides that, the residual diagnostic test indicated that VARMA-DCC models is the best suitable model to modeling the dollar exchange rate with CRB commodity equity index.

Affine multivariate GARCH models

2020 ◽  
Vol 118 ◽  
pp. 105895
Author(s):  
Marcos Escobar-Anel ◽  
Javad Rastegari ◽  
Lars Stentoft
Keyword(s):  
Multivariate Garch ◽  
Garch Models ◽  
Multivariate Garch Models
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