scholarly journals DOES THE CHOICE OF THE MULTIVARIATE GARCH MODEL ON VOLATILITY SPILLOVERS MATTER? EVIDENCE FROM OIL PRICES AND STOCK MARKETS IN G7 COUNTRIES

2020 ◽  
Vol 10 (5) ◽  
pp. 164-182
Author(s):  
Dimitrios Kartsonakis-Mademlis ◽  
Nikolaos Dritsakis
Keyword(s):  
Stock Markets ◽  
Garch Model ◽  
Oil Prices ◽  
Multivariate Garch ◽  
G7 Countries ◽  
Volatility Spillovers ◽  
Multivariate Garch Model

scholarly journals Modeling Exchange Rate and Nigerian Deposit Money Market Dynamics Using Trivariate form of Multivariate GARCH Model

2019 ◽  
pp. 1-18
Author(s):  
Deebom, Zorle Dum ◽  
Tuaneh, Godwin Lebari
Keyword(s):  
Exchange Rate ◽  
Garch Model ◽  
Money Market ◽  
Multivariate Garch ◽  
Market Dynamics ◽  
Volatility Clustering ◽  
Volatility Spillovers ◽  
Multivariate Garch Model ◽  
The Difference ◽  
Student’S T

The risks associated with exchange rate and money market indicators have drawn the attentions of econometricians, researchers, statisticians, and even investors in deposit money banks in Nigeria. The study targeted at modeling exchange rate and Nigerian deposit banks money market dynamics using trivariate form of multivariate GARCH model. Data for the period spanning from 1991 to 2017 on exchange rate (Naira/Dollar) and money market indicators (Maximum and prime lending rate) were sourced for from the central bank of Nigeria (CBN) online statistical database. The study specifically investigated; the dynamics of the variance and covariance of volatility returns between exchange rate and money market indicators in Nigeria were examine whether there exist a linkage in terms of returns and volatility transmission between exchange rate and money market indicators in Nigeria and compared the difference in Multivariate BEKK GARCH considering restrictive indefinite under the assumption of normality and that of student’s –t error distribution.  Preliminary time series checks were done on the data and the results revealed the present of volatility clustering. Results reveal the estimate of the maximum lag for exchange rate and money market indicators were 4 respectively. Also, the results confirmed that there were two co-integrating equations in the relationship between the returns on exchange rate and money market indicators.  The results of the diagonal MGARCH –BEKK estimation  confirmed  that diagonal MGARCH –BEKK in students’-t was  the best fitted and an appropriate model for modeling exchange rate and Nigerian deposit money market dynamics using trivariate form of multivariate GARCH model. Also, the study confirmed presence of two directional volatility spillovers between the two sets of variables.

scholarly journals Dynamic Spillover Between The Oil And Stock Markets Of Emerging Oil-Exporting Countries

2013 ◽  
Vol 30 (1) ◽  
pp. 51 ◽  
Author(s):  
Frederic Teulon ◽  
Khaled Guesmi
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
United Arab Emirates ◽  
Stock Markets ◽  
Oil Prices ◽  
Multivariate Garch ◽  
Time Varying ◽  
Global Business ◽  
Stock Market Returns ◽  
Volatility Spillovers

<p>The paper investigates the time-varying correlations between stock market returns and oil prices in oil-exporting countries. A multivariate GARCH-DCC process is employed to evaluate this relationship based on data from Venezuela, the United Arab Emirates, Saudi Arabia and Kuwait. The results show that there are time-varying correlations between the oil and stock markets in emerging, oil-producing countries, indicating that they are affected by conditions in world markets. In addition, the relationship between oil prices and stock returns is found to be influenced by the origin of shocks to oil prices, with stock market responses being stronger to demand-side shocks caused by political turmoil or fluctuations in the global business cycle than to supply-side shocks caused by cuts in oil production. The results also provide evidence of volatility spillovers between the oil and stock markets.</p>

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