FINANCIAL MARKET INTERCONNECTIONS ANALYZED USING GARCH UNIVARIATE AND MULTIVARIATE MODELS

被引：0

作者：

Anghel, Lucian Claudiu ^{[1
]}

Zwak-Cantoriu, Maria-Cristina ^{[2
]}

Mendon, Suhan ^{[3
]}

Gyorgy, Attila ^{[2
]}

Ermis, Simona ^{[1
]}

Trivedi, Jatin ^{[4
]}

机构：

[1] Natl Univ Polit Studies & Publ Adm, Fac Management, Bucharest, Romania

[2] Bucharest Univ Econ Studies, Bucharest, Romania

[3] Manipal Acad Higher Educ, Manipal Inst Management, Manipal, Karnataka, India

[4] Natl Inst Secur Markets, Fac Sch Secur Educ, Navi Mumbai, India

来源：

ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH | 2022年 / 56卷 / 03期

关键词：

Volatility; Contagion; Clustering; ARCH-GARCH models; GARCH-BEKK models; HETEROSCEDASTICITY;

D O I：

10.24818/18423264/56.3.22.07

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Given that the financial markets are facing the effects of the coronavirus pandemic, we chose to perform an analysis on them, in order to see the transmission of volatility, the effects of the contagion and the interconnection between the financial markets. Using stock indices from different countries and applying theoretical and empirical methods such as univariate and multivariate models (ARCH - GARCH, BEKK), we aim to capture volatility and bidirectional contagion, as well as testing and occurring the phenomenon of clustering volatility and its transmission effect.

引用

页码：101 / 118

页数：18

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