Do BRIC countries stock market volatility move together? An empirical analysis of using multivariate GARCH models

2017 ◽  
Vol 9 (2) ◽  
pp. 104 ◽  
Author(s):  
Naliniprava Tripathy
Keyword(s):  
Stock Market ◽  
Empirical Analysis ◽  
Market Volatility ◽  
Multivariate Garch ◽  
Garch Models ◽  
Stock Market Volatility ◽  
Bric Countries ◽  
Multivariate Garch Models

scholarly journals International Stock Market Comovements: What Happened during the Financial Crisis?

2012 ◽  
Vol 12 (1) ◽  
pp. 1850252 ◽  
Author(s):  
Roman Horvath ◽  
Petr Poldauf
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Equity Returns ◽  
Multivariate Garch ◽  
Garch Models ◽  
Chinese Stock Market ◽  
Common Shock ◽  
The Usa ◽  
Multivariate Garch Models ◽  
The Uk

We investigate the stock market comovements in Australia, Brazil, Canada, China, Germany, Hong Kong, Japan, Russia, South Africa, the UK, and the USA, both at the market and sectoral level in 2000-2010. Using multivariate GARCH models, our results suggest that the correlation among equity returns during the financial crisis (2008-2010) somewhat increased, suggesting that the crisis represented a common shock to all countries. The U.S. stock market is found to be the most correlated with the stock markets in Brazil, Canada and UK. The correlation of U.S. and Chinese stock market is essentially zero before the crisis; it becomes slightly positive during the crisis. The sectoral indices are less correlated than the market indices over the whole period, but, again, the correlations increase during the crisis.

scholarly journals Estimating stock market volatility using asymmetric GARCH models

2008 ◽  
Vol 18 (15) ◽  
pp. 1201-1208 ◽  
Author(s):  
Dima Alberg ◽  
Haim Shalit ◽  
Rami Yosef
Keyword(s):  
Stock Market ◽  
Market Volatility ◽  
Garch Models ◽  
Stock Market Volatility ◽  
Asymmetric Garch

scholarly journals Modeling Stock Market Volatility Using GARCH Models: A Case Study of Nairobi Securities Exchange (NSE)

2017 ◽  
Vol 07 (02) ◽  
pp. 369-381
Author(s):  
Arfa Maqsood ◽  
Suboohi Safdar ◽  
Rafia Shafi ◽  
Ntato Jeremiah Lelit
Keyword(s):  
Stock Market ◽  
Market Volatility ◽  
Garch Models ◽  
Stock Market Volatility
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