Volatility spillover and multivariate volatility impulse response analysis of GFC news events

Multivariate Volatility and Spillover Effects in Financial Markets

The relationship between volatility and risk has been one of the main factors underlying the interest in volatility modelling. An important question for international diversification is whether shocks in one market influence, or have spillovers into, returns and volatility in other markets. This paper tests for the existence of volatility spillovers among the S&P 500, FTSE 100 and Nikkei 225 st...

The Influence of Structural Changes in Volatility on Shock Transmission and Volatility Spillover among Iranian Gold and Foreign Exchange Markets

Multivariate volatility analysis of VW stock prices

Multivariate GARCH{type models are proposed which allow for asymmetry and size eeects in the conditional variance{covariance matrices of a system of time series variables. These models are applied for analyzing the properties of VW common and preference stock prices. The relationship between the conditional variances of these variables is investigated using suitable impulse responses or conditi...

Empirical Analysis of Volatility Spillover Effects in International Financial Markets

Volatility spillover effect in international financial markets is one of the principal issues that widely attract academic and industrial scholars’ attention. Through constructing a binary GARCH-BEKK model, this study empirically tests the volatility effects among stock market, gold market, WTI crude oil futures market and spot market, and concludes that there is bidirectional volatility spillo...

Multivariate Volatility Models

Multivariate volatility models are widely used in finance to capture both volatility clustering and contemporaneous correlation of asset return vectors. Here, we focus onmultivariate GARCHmodels. In this commonmodel class, it is assumed that the covariance of the error distribution follows a time dependent process conditional on information which is generated by the history of the process. To p...