Results 81 to 90 of about 307 (133)

Multivariate DCC-GARCH Model: -With Various Error Distributions

, 2009
In this thesis we have studied the DCC-GARCH model with Gaussian, Student's $t$ and skew Student's t-distributed errors. For a basic understanding of the GARCH model, the univariate GARCH and multivariate GARCH models in general were discussed before the DCC-GARCH model was considered.
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Dynamic and asymmetric spillovers between crude oil, biofuels and agricultural commodities: Evidence from periods of geopolitical tensions and energy policy uncertainty

International Review of Economics & Finance
This study investigates dynamic spillovers in returns and volatility among the ethanol, crude oil (WTI), and corn markets using the Quantile Vector Autoregressive Dynamic Conditional Correlation GARCH (QVAR-DCC-GARCH) model.
Roland Amagbo, Hélyette Geman
doaj   +1 more source

Dynamic Volatility Spillovers: An Empirical Study of India’s Stock Market and Its Key FDI Investor Nations

NMIMS Management Review
This research empirically investigates the characteristics and dynamics of the transmission of volatility between India’s stock markets and the countries that provide the majority of its foreign direct investment (FDI), specifically Mauritius, Singapore,
Ruchika Kaura
doaj   +1 more source

The effect of COVID-19 and U.S. monetary policy on Bitcoin and stock market volatility: an application of DCC-GARCH model

Humanities & Social Sciences Communications
During the COVID-19 pandemic and subsequent periods of US monetary policy normalization after quantitative easing during COVID-19, global financial markets have encountered elevated levels of volatility and risk.
Kamphol Panyagometh
doaj   +1 more source

Dynamic Correlation Research on Grain Markets Based on DCC-GARCH Model [PDF]

Proceedings of the 2017 3rd International Conference on Economics, Social Science, Arts, Education and Management Engineering (ESSAEME 2017), 2017
Haixia Wu, Yan Ge
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Nvidia and Bitcoin Linkage Study—Based on DCC-GARCH Model

Financial Engineering and Risk Management, 2023
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Dynamic Relationship between Precious Metals and Central European Stock Markets

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu, 2020
High volatility and the contagion effect have led investors to consider alternative instruments as a part of their portfolios to be able to diversify away from the increasing risk in the stock markets.
Karolina Siemaszkiewicz
doaj  

Dynamics Between Foreign Portfolio Investment, Stock Price and Financial Development in South Africa: A SVAR Approach

Economies
The goal of this study is to look into the dynamic relationship between stock prices, foreign portfolio investment, and financial development in the South African economy. Federal Reserve Economic Data (FRED) provided quarterly time series data from 1960
Kazeem Abimbola Sanusi, Zandri Dickason-Koekemoer   +1 more
doaj   +1 more source

R2 decomposed connectedness measures and multivariate portfolio techniques using DCC-GARCH models

, 2023
In this study, we investigate the return propagation mechanism across four clean energy indices, namely, the NASDAQ OMX Green Economy Index, NASDAQ OMX Solar Energy Index, NASDAQ OMX Wind Energy Index, and NASDAQ OMX Geothermal Energy Index ranging from December 21st, 2010 until June 2nd, 2023 by using a novel DCC-GARCH-based R2 decomposed ...
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Financialization of Commodity Markets in India: Evidence from the VARMA-DCC-GARCH Model

This study investigates the financialization phenomenon in Indian commodity futures markets using a market integration approach. Daily data covering eight commodity futures namely Crude Oil, Natural Gas, Gold, Silver, Aluminium, Zinc, Lead, and Nickel alongside three financial market indices (BSE100, INR/USD, CCIL Liquid Bond Index) are examined ...
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