scholarly journals Modeling Mediterranean Stock Markets Volatility with Univariate and Multivariate Approaches

2021 ◽  
Vol 16 ◽  
pp. 457-468
Author(s):  
Saoussan Bouchareb ◽  
Mohamed Salah Chiadmi ◽  
Fouzia Ghaiti
Keyword(s):  
Stock Market ◽  
Strong Evidence ◽  
Stock Markets ◽  
Multivariate Garch ◽  
Garch Models ◽  
Volatility Spillovers ◽  
Daily Data ◽  
Multivariate Approaches ◽  
Multivariate Garch Models

In our study we use the univariate and multivariate GARCH models to analyze the volatility behavior of the daily data of four Mediterranean stock markets (Morocco, Turkey, Spain, and France) spanning the period 2000-2020. We find a strong evidence of persisting of volatility in each of these markets. Results also indicate that both the univariate and the multivariate approaches capture well the ARCH and GARCH effects. We analyze the conditional covariances, and co-volatility spillovers between the Moroccan stock market and the three other Mediterranean stock markets. In order to study co-volatility spillovers, our work is built on the diagonal BEKK model especially the conditional covariances.

scholarly journals Testing the conditional correlations and volatility spillovers between US and ASEAN Islamic stock markets: A Multivariate GARCH Analysis

2015 ◽  
Vol 2 (1) ◽  
pp. 029
Author(s):  
Muhammad Rizky Prima Sakti
Keyword(s):  
Stock Markets ◽  
Multivariate Garch ◽  
Garch Models ◽  
Time Varying ◽  
Foreign Investors ◽  
Volatility Spillovers ◽  
The Us ◽  
Conditional Correlations ◽  
Multivariate Garch Models ◽  
Empirical Design

This study examines the conditional correlations and volatility spillovers between the US and ASEAN Islamic stock markets. The empirical design uses MSCI (Morgan Stanley Capital International) Islamic indexes as it adopted stringent restriction to include companies in sharia list. By using a three multivariate GARCH models (BEKK, diagonal VECH, and CCC model), we find evidence of returns and volatility spillovers from the US to the ASEAN Islamic stock markets. However, as the estimated time-varying conditional correlations and volatilities indicate there is still a room for diversification benefits, particularly in the single markets. The Islamic MSCI of Thailand, Indonesia, and Singapore are less correlate to the US MSCI Islamic index. The implication is that foreign investors may benefit from the reduction of risk by adding the Islamic stocks in those countries.

Hedging stock market prices with WTI, Gold, VIX and cryptocurrencies: a comparison between DCC, ADCC and GO-GARCH models

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Mohamed Fakhfekh ◽  
Ahmed Jeribi ◽  
Ahmed Ghorbel ◽  
Nejib Hachicha
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Multivariate Garch ◽  
Garch Models ◽  
Hedging Strategy ◽  
Market Prices ◽  
Content Type ◽  
Hedge Ratios ◽  
Multivariate Garch Models ◽  
Optimal Hedge

PurposeIn a first place, the present paper is designed to examine the dynamic correlations persistent between five cryptocurrencies, WTI, Gold, VIX and four stock markets (SP500, FTSE, NIKKEI and MSCIEM). In a second place, it investigates the relevant optimal hedging strategy.Design/methodology/approachEmpirically, the authors examine how WTI, Gold, VIX and five cryptocurrencies can be applicable to hedge the four stock markets. Three variants of multivariate GARCH models (DCC, ADCC and GO-GARCH) are implemented to estimate dynamic optimal hedge ratios.FindingsThe reached findings prove that both of the Bitcoin and Gold turn out to display remarkable hedging commodity features, while the other assets appear to demonstrate a rather noticeable disposition to act as diversifiers. Moreover, the results show that the VIX turns out to stand as the most effectively appropriate instrument, fit for hedging the stock market indices various related refits. Furthermore, the results prove that the hedging strategy instrument was indifferent for FTSE and NIKKEI stock while for the American and emerging markets, the hedging strategy was reversed from the pre-cryptocurrency crash to the during cryptocurrency crash period.Originality/valueThe first paper's empirical contribution lies in analyzing emerging cross-hedge ratios with financial assets and compare hedging effectiveness within the period of crash and the period before Bitcoin crash as well as the sensitivity of results to refits choose to compare between short term hedging strategy and long-term one.

scholarly journals An application of multivariate GARCH models in research for the interaction of world financial markets

Equilibrium ◽  
2009 ◽  
Vol 2 (1) ◽  
pp. 61-68
Author(s):  
Tomasz Chruściński
Keyword(s):  
Financial Markets ◽  
Stock Markets ◽  
Multivariate Garch ◽  
Garch Models ◽  
Data Sets ◽  
Conditional Correlation ◽  
Main Emphasis ◽  
Multivariate Garch Models ◽  
Diagonal Vech

This article presents information about taxonometric methods in classification stock-markets and selected Multivariate GARCH models. The main emphasis is placed on which market (country) influences others. Research has been geared towards three kinds of measurement: diagonal VECH models, diagonal BEKK models and Constant Conditional Correlation. The results obtained for the DBEKK model is optimal for most data-sets.

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 Volatility Modelling of Chinese Stock Market Monthly Return and Investor Sentiment Using Multivariate GARCH Models

2020 ◽  
Vol 5 (1) ◽  
pp. 123-133
Author(s):  
Hongjun Zeng
Keyword(s):  
Stock Market ◽  
Investor Sentiment ◽  
Multivariate Garch ◽  
Volatility Spillover ◽  
Chinese Stock Market ◽  
Volatility Spillovers ◽  
Stock Market Return ◽  
Monthly Return ◽  
Multivariate Garch Models ◽  
Linkage Effects

This article examines the linkage and volatility spillover among Chinese Stock Market Monthly Return and Investor Sentiment, investigating the effect dynamic links of various investor sentiment indicators and Chinese stock market return volatility. Employing the DCC and BEKK GARCH, we find investor sentiment is to some extent linked to the yield fluctuations of the Chinese stock market, but the volatility spillover is relatively weak. In the test period (2005-2020), we observe that several indicators do not explain their linkage effects with CSI 300 index of return fluctuations and volatility spillovers well, with no indicators can reflect both of these effects. Most indicators are linkage with the CSI 300 index, especially consumer confidence index (CCI), new investor account openings last month (NIA) and the volume of transactions last month (TURN) have significant linkage effects with the CSI 300 index. We also find that only the CCI index has a one-way volatility spillover on the CSI 300 index, and the CSI 300 index has no volatility spillover on any indicator.

scholarly journals Risk Spillover during the COVID-19 Global Pandemic and Portfolio Management

2021 ◽  
Vol 14 (5) ◽  
pp. 222
Author(s):  
Mohamed Yousfi ◽  
Abderrazak Dhaoui ◽  
Houssam Bouzgarrou
Keyword(s):  
Portfolio Management ◽  
Stock Markets ◽  
Multivariate Garch ◽  
Conditional Correlation ◽  
Financial Variables ◽  
Global Pandemic ◽  
Daily Data ◽  
Hedge Ratios ◽  
Portfolio Managers ◽  
Multivariate Garch Models

This paper aims to examine the volatility spillover, diversification benefits, and hedge ratios between U.S. stock markets and different financial variables and commodities during the pre-COVID-19 and COVID-19 crisis, using daily data and multivariate GARCH models. Our results indicate that the risk spillover has reached the highest level during the COVID-19 period, compared to the pre-COVID period, which means that the COVID-19 pandemic enforced the risk spillover between U.S. stock markets and the remains assets. We confirm the economic benefit of diversification in both tranquil and crisis periods (e.g., a negative dynamic conditional correlation between the VIX and SP500). Moreover, the hedging analysis exhibits that the Dow Jones Islamic has the highest hedging effectiveness either before or during the recent COVID19 crisis, offering better resistance to uncertainty caused by unpredictable turmoil such as the COVID19 outbreak. Our finding may have some implications for portfolio managers and investors to reduce their exposure to the risk in their portfolio construction.

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