INTERDEPENDENCE AND FORECASTING OF S&P500, OIL, EURO / DOLLAR AND 10-YEAR U.S. INTEREST RATE MARKETS: AN ATTEMPT OF MODELLING THROUGH THE VOLATILITY

Ahmed Ksaier () and Isabelle Cristiani-D’ornano ()
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Ahmed Ksaier: University of Nice Sophia-Antipolis, France
Isabelle Cristiani-D’ornano: University of Nice Sophia-Antipolis, France

Review of Economic and Business Studies, 2010, issue 6, 145-166

Abstract: We observe from the late 1990s an increasing phenomenon of volatility on these following markets: Oil (WTI price), Foreign Exchange (nominal Euro/Dollar), Stock Market (S&P 500 Index) and Bond market (U.S.10-Year). After seizing the concept of volatility and overcoming its first definition of risk measure, we have evaluated their interdependencies from a VAR model, we have investigated the presence of long memory phenomenon in these series and we have carried out their forecasted trajectories from FIGARCH model. This paper is presented as follows: Section 1 opens on a definition of the volatility, Section 2 examines the interdependence of the studied markets; Section 3 provides a FIGARCH model in order to capture the dynamics and predict future market volatilities changes and Section 4 concludes."

Keywords: Volatility; Long Memory; FIGARCH; Forecasting (search for similar items in EconPapers)
JEL-codes: C22 C53 G17 (search for similar items in EconPapers)
Date: 2010
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