The purpose of this research was to examine the dynamics volatility spillover between energy and environmental, social, sustainable indices. COVID19 prompted select April 2019 March 2022 as a sample period, respective data (Daily Prices) Nifty Energy ESG indices were obtained from National Stock Exchange India Limited. outcomes study confirmed that daily returns 100 not normally distributed rea...

This paper examines the ability of several models to generate optimal hedge ratios. Statistical models employed include univariate and multivariate GARCH models, and exponentially weighted and simple moving averages. The variances of the hedged portfolios derived using these hedge ratios are compared with those based on market expectations implied by the prices of traded options. One-month and ...

We propose a method for defining and measuring the spatial contagion between two financial markets. Next we investigate which from the large family of multivariate GARCH models is the best tool for modeling spatial contagion.

Using a multivariate generalized autoregressive conditional heteroskedasticity (GARCH-M) model, we investigate volatility spillovers in six Southeast Asian stock markets around the time of the 1997 Asian crisis. We focus on interactions with the U.S. market as a world financial market, and with the Japanese market as a regional financial market. We also use bivariate GARCH-M models to examine t...

Four foreign exchange spot rate series, recorded on an hourly basis for a six-month period in 1986 are examined. A seasonal GARCH model is developed to describe the time-dependent volatility apparent in the percentage nominal return of each currency. Hourly patterns in volatility are found to be remarkably similar across currencies and appear to be related to the opening and closing of the worl...

Instantaneous dependence among several asset returns is the main reason for the computational and statistical complexities in working with full multivariate GARCH models. Using the Cholesky decomposition of the covariance matrix of such returns, we introduce a broad class of multivariate models where univariate GARCH models are used for variances of individual assets and parsimonious models for...