We employ a VARMA DCC-GARCH model to search for portfolio diversification with Bitcoin in global industry portfolios and bond index. find lower dynamic conditional correlations between & index, allowing an investment hedge the risk against bonds. The most effective Bitcoin/industry (bond) is short Utilities sector. Results are robust use of US cryptocurrency index instead Bitcoin, respectively....

Crude oil and natural gas are crucial to the Russian economy. Therefore, this study examined interconnections between crude price, economic policy uncertainty (EPU) over period 1994–2019 using multivariate DCC-MGARCH models. The findings show that there strong (co-movement) energy prices EPU in Russia, it might be misleading assume independence or neutrality variables. Although Russia is also a...

The purpose of this thesis is to investigate different formulations of multivariate GARCH models and to apply two of the popular ones – the BEKKGARCH model and the DCCGARCH model – in evaluating the volatility of a portfolio of zero-coupon bonds. Multivariate GARCH models are considered as one of the most useful tools for analyzing and forecasting the volatility of time series when volatility f...

This research aims to review the formation of dynamic portfolio individual stocks and gold using DCC-GARCH ADCC-GARCH analysis techniques in periods before during COVID-19 pandemic. is done so that investors investment managers will be able apply this method. uses data from period October 2019 - September 2020 with a sample nine are included IDX-30. The results showed technique pandemic perform...

This study uses daily COVID-19 news series to determine their impact on financial market volatility. paper assesses whether U.S. markets react differently than emerging and if such are impacted by country-specific global news. To detect the spillover effects from volatility, a time-varying DCC-GARCH model was applied. The results suggest that affected pandemic news, have stronger ones, misleadi...

We investigate the interest rate risk exposures of euro area banks during times crises and very low rates. First, we assess sensitivities banks' stock prices to changes in level, slope curvature yield curve using Bayesian DCC M-GARCH model. Our findings reveal that price change over time that, on average, benefit from increases curve. Second, observe with higher capital ratios, more customer le...