The univariate Generalised Autoregressive Conditional Heterscedasticity (GARCH) model has successfully captured the symmetric conditional volatility in a wide range of time series financial returns. Although multivariate effects across assets can be captured through modelling the conditional correlations, the univariate GARCH model has two important restrictions in that it: (1) does not accommo...

This paper aims to examine the volatility spillover, diversification benefits, and hedge ratios between U.S. stock markets different financial variables commodities during pre-COVID-19 COVID-19 crisis, using daily data multivariate GARCH models. Our results indicate that risk spillover has reached highest level period, compared pre-COVID which means pandemic enforced remains assets. We confirm ...

This paper provides new empirical evidence on housing bubble timing, volatility spillover, and contagion between Japan its economic partners, namely, the United States, Eurozone, Kingdom. First, we apply a generalized sup ADF (GSADF) test to quarterly price-to-rent ratio from 1970Q1 2018Q4 detect explosive behaviors in prices. Second, analyze spillover prices partners using multivariate time-va...

In this paper, we examine the relationship between volatilities of energy index, crude oil, gas prices, and financial assets (Gold, Bitcoin, G7 stock indexes), especially during coronavirus crisis. The study tests presence regime changes in GARCH volatility dynamics indexes, Gold, (energy gas) by using Markov–Switching model. It estimates dynamic correlation spillover assets, multivariate MSGAR...

In this paper we examine the usefulness of multivariate semi-parametric GARCH models for portfolio selection under a Value-at-Risk (VaR) constraint. First, we specify and estimate several alternative multivariate GARCH models for daily returns on the S&P 500 and Nasdaq indexes. Examining the within sample VaRs of a set of given portfolios shows that the semi-parametric model performs uniformly ...

Volatility modelling of asset returns is an important aspect for many financial applications, e.g., option pricing and risk management. GARCH models are usually used to model the volatility processes of financial time series. However, multivariate GARCH modelling of volatilities is still a challenge due to the complexity of parameters estimation. To solve this problem, we suggest using Independ...