scholarly journals An Analysis on Shock Spillover Effects among Stock Markets of Korea, Russia, and Brazil by Multivariate GARCH Model

2012 ◽  
Vol 9 (4) ◽  
pp. 201-227 ◽  
Author(s):  
KimByoungJoon
Keyword(s):  
Stock Markets ◽  
Garch Model ◽  
Spillover Effects ◽  
Multivariate Garch ◽  
Multivariate Garch Model

COMPARING THE IMPACTS OF OIL PRICE SHOCKS ACROSS STOCK MARKETS

2015 ◽  
Vol 77 (20) ◽  
Author(s):  
Siok Kun Sek ◽  
Zhan Jian Ng ◽  
Wai Mun Har
Keyword(s):  
Stock Returns ◽  
Stock Markets ◽  
Spillover Effect ◽  
Spillover Effects ◽  
Oil Price ◽  
Multivariate Garch ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Long Run ◽  
Short Run

We conduct empirical analyses on comparing the spillover effects of oil price shocks on the volatility of stock returns between oil importing and oil exporting countries. In particular, we seek to study how the nature of oil price shocks differs due to the oil dependency factor and how the stock markets react to such shocks. Applying the multivariate GARCH-BEKK(1,1) model, our results detect spillover effects between crude oil price and stock returns for all countries. The short run persistencies of shocks are smaller but the persistencies of shocks are very high in the long run. The results hold for both groups of countries. The results imply larger spillover effect from oil price shock into stock market in the oil importing countries.

A full-factor multivariate GARCH model

2003 ◽  
Vol 6 (2) ◽  
pp. 312-334 ◽  
Author(s):  
I. D. Vrontos ◽  
P. Dellaportas ◽  
D. N. Politis
Keyword(s):  
Garch Model ◽  
Multivariate Garch ◽  
Multivariate Garch Model
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