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首页> 外文期刊>Borsa Istanbul Review >Stock markets volatility spillovers during financial crises: A?DCC-MGARCH with skewed-t density approach
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Stock markets volatility spillovers during financial crises: A?DCC-MGARCH with skewed-t density approach

机译：金融危机期间的股市波动溢出效应：采用偏斜- t 密度法的A？DCC-MGARCH

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This paper investigates stock returns volatility spillovers in emerging and developed markets (DMs) using multivariate-GARCH (MGARCH) models and their variants. In addition, we analyse the impacts of global financial crisis (2007–2009) on stock market volatility interactions and modify the BEKK-MGARCH-type models by including financial crisis dummies to assess their impact on volatilities and spillovers. Major findings reveal that correlations among emerging markets (EMs) are lower compared with correlations among DMs and increase during financial crises. Furthermore, we detect evidence of volatility spillovers and observe that own-volatility spillovers are higher than cross-volatility spillovers for EMs suggesting that shocks have not been substantially transmitted among EMs compared to DMs. We also find significant asymmetric behaviour in DMs while weak evidence is detected for EMs. Finally, the DCC-with-skewed- t density model provided improved diagnostics compared to other models partly due to its taking into account fat tails and skewed features often present in financial returns.
机译：本文使用多元GARCH（MGARCH）模型及其变体来研究新兴市场和发达市场（DM）中的股票收益率波动溢出效应。此外，我们分析了全球金融危机（2007-2009）对股票市场波动性的影响，并通过包括金融危机假人来评估其对波动率和溢出效应的影响，修改了BEKK-MGARCH类型的模型。主要发现表明，新兴市场之间的相关性低于发达市场之间的相关性，而在金融危机期间则有所增加。此外，我们发现了波动性溢出的证据，并观察到EM的自身波动性溢出高于交叉波动性溢出，这表明与DM相比，新兴市场之间的冲击并未实质传递。我们还发现DM中存在显着的不对称行为，而为EM检测到的证据很薄。最后，带有偏斜t的DCC密度模型与其他模型相比，提供了改进的诊断功能，部分原因是它考虑了经常出现在财务收益中的肥尾和偏斜特征。

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