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Analysis of Multivariate-GARCH via DCC Modelling [PDF]

Ungyong T'onggye Yon'gu = the Korean Journal of Applied Statistics, 2009
Conditional correlation between financial time series plays an important role in risk management, asset allocation and portfolio selection and therefore diverse efforts for modeling conditional correlations in multivariate-GARCH processes have been made in last two decades. In particular, CCC (cf.
M S Choi, S Y Hwang
exaly   +2 more sources

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Volatility Spillover Effects between Indian Stock Market and Global Stock Markets: A DCC-GARCH Model

FIIB Business Review, 2023
The present article empirically estimates the volatility spillover transmission in Indian equity market represented by Sensex from world economies composite index (Euro Stoxx 50) using the dynamic conditional correlation generalized autoregressive ...
Nikhil Yadav, Anurag Bhadur Singh, P. Tandon   +2 more
semanticscholar   +1 more source

Re-evaluating the hedge and safe-haven properties of Islamic indexes, gold and Bitcoin: evidence from DCC–GARCH and quantile models

Journal of Islamic Accounting and Business Research, 2023
Purpose This paper aims to investigate the hedge, safe-haven and diversifier properties of Islamic indexes, Bitcoin and gold for ten of the most affected countries by the coronavirus, which are the USA, Brazil, the UK, Italy, Spain, Germany, France ...
Slah Bahloul, Mourad Mroua, Nader Naifar
semanticscholar   +1 more source

Comparison of BEKK GARCH and DCC GARCH Models: An Empirical Study

2010
Modeling volatility and co-volatility of a few zero-coupon bonds is a fundamental element in the field of fix-income risk evaluation. Multivariate GARCH model (MGARCH), an extension of the well-known univariate GARCH, is one of the most useful tools in modeling the co-movement of multivariate time series with time-varying covariance matrix. Grounded on
Yiyu Huang, Wenjing Su, Xiang Li 0033
openaire   +1 more source

The Relationship between the Wheat Market and the Financial Market in Malaysia Using a Dynamic Conditional Correlation Model (DCC-GARCH)

Research on World Agricultural Economy
The research aims to identify the nature of the dynamic relationship between the returns of the wheat market (RPW) and the returns of the general index of the Malaysia financial market (RISX), and to verify the transmission of shocks and volatility ...
Wisam Al-Anezi, A. Y. A. Al‑Joaani, Abdulrazaq Shabeeb, Faez Hlail Srayyih, Faisal Ghazi Faisal   +4 more
semanticscholar   +1 more source

Volatility spillovers between energy market and carbon market: The TVP-SV-VAR and DCC-GARCH-Connectedness approaches.

Journal of Environmental Management
This study utilizes energy futures and EUA futures settlement price data from 2009 to 2024 to examine the responses of energy and carbon markets to volatility shocks and their volatility spillover relationships.
Ou Cong, Huidan Xue
semanticscholar   +1 more source

Evaluating Sectoral Vulnerability to Natural Disasters in the US Stock Market: Sectoral Insights from DCC-GARCH Models with Generalized Hyperbolic Innovations

Sustainability
The escalating frequency and severity of natural disasters present significant challenges to the stability and sustainability of global financial systems, with the US stock market being especially vulnerable. This study examines sector-level exposure and
A. Davidescu, E. Manta, M. Florescu, Robert-Stefan Constantin, C. Manole   +4 more
semanticscholar   +1 more source

DYNAMIC LINKAGES BETWEEN TURKISH ISLAMIC STOCK MARKET AND GLOBAL MACROECONOMIC RISK FACTORS: EVIDENCE FROM DCC-GARCH MODEL

Akademik hassasiyetler
Over the past two decades, Islamic finance has gained increasing prominence, with Islamic equities emerging as particularly attractive to investors. This study aims to investigate the volatility transmission between the Turkish Islamic stock market and ...
Nehir Balcı
semanticscholar   +1 more source

Linear time-varying regression with Copula–DCC–GARCH models for volatility

Economics Letters, 2016
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kim, Jong-Min, Jung, Hojin
openaire   +1 more source

The impact of the Russia–Ukraine conflict (2022) on volatility connectedness between the Egyptian stock market sectors: evidence from the DCC-GARCH-CONNECTEDNESS approach

The Journal of Risk Finance, 2022
PurposeThis study investigates the impact of the Russia–Ukraine war (2022) on the volatility connectedness between Egyptian stock market sectors.Design/methodology/approachThis study employs the newest dynamic conditional correlation (DCC)-generalized ...
H. Mahran
semanticscholar   +1 more source