Long-Run Volatility Memory Dynamics and Inter-Market Linkages in GCC Equity Markets: Application of DCC-FIGARCH Models

Mohamed Riyath Mohamed Ismail () and Aldabbous Nagham ()
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Mohamed Riyath Mohamed Ismail: Department of Accountancy and Finance, Faculty of Management and Commerce, 119005 South Eastern University of Sri Lanka , Oluvil, Sri Lanka
Aldabbous Nagham: Department of Accounting, College of Business Studies, The Public Authority for Applied Education and Training-Kuwait, Safat, Kuwait

Review of Middle East Economics and Finance, 2024, vol. 20, issue 3, 299-329

Abstract: The study investigates volatility persistence, long-term memory and time-varying conditional correlations among the stock markets of the Gulf Cooperation Council (GCC) countries. Daily equity index data between 2012 and 2024 were analyzed using univariate fractionally integrated generalized autoregressive conditional heteroskedasticity (FIGARCH) models to examine long-memory behavior and multivariate dynamic conditional correlation (DCC) models to assess conditional correlations between these markets. For each of the GCC equity markets, the analysis highlighted large degrees of long-memory and volatility persistence. Finally, the DCC model shows that strong and dynamic Intermarket links among the GCC, especially between KSA and UAE, exist and reflect significant volatility spillover from good economic ties. This study fills the gap in the literature by providing a comprehensive understanding of long-run volatility memory and inter-market associations in the GCC stock markets.

Keywords: DCC; FIGARCH; GCC; long-run memory; spillovers; volatility (search for similar items in EconPapers)
JEL-codes: C22 C53 E44 G11 G14 G17 G24 G32 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1515/rmeef-2024-0018

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