Application of DCC-GARCH Model for Analysis of Interrelations Among Capital Markets of Poland, Czech Republic and Germany

Marek Zinecker (), Adam Balcerzak (), Marcin Faldzinski (), Michal Pietrzak and Tomáš Meluzin ()
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Marek Zinecker: Brno University of Technology, Czech Republic
Tomáš Meluzin: Brno University of Technology, Czech Republic

No 4/2016, Working Papers from Institute of Economic Research

Abstract: The phenomenon of growing capital market linkages is a significant exogenous factor affecting the effectiveness of national economic policies and risk management processes in enterprises. As a result the identification of interdependencies among capital markets is important both from the macro and microeconomic perspective. In this context the main aim of this article is to examine the relations among capital markets of Poland, Czech Republic and Germany. In the research DCC-GARCH model with the t-student conditional distribution was applied. The analysis was conducted for the years 1997-2015. The research findings confirmed significant interdependencies among analysed capital markets, which were evaluated here by conditional correlations.

Keywords: interdependences among capital markets; conditional variance and correlations; DCC-GARCH model (search for similar items in EconPapers)
JEL-codes: C58 G15 (search for similar items in EconPapers)
Date: 2016-02, Revised 2016-02
New Economics Papers: this item is included in nep-rmg and nep-tra
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Citations: View citations in EconPapers (3)

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Chapter: Application of DCC-GARCH model for analysis of Interrelations among Capital Markets of Poland, Czech Republic and Germany (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:pes:wpaper:2016:no4

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