Multivariate GARCH modeling analysis of unexpected U.S. D, Yen and Euro-dollar to Reminibi volatility spillover to stock markets

Ching-Chun Wei ()
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Ching-Chun Wei: Department of Fiance, Providence Univesity

Economics Bulletin, 2008, vol. 3, issue 64, 1-15

Abstract: The objective of this paper, by employing the Constant Conditional Correlation(CCC) and Dynamic Conditional Correlation(DCC) MGARCH-M model using the unexpected exchange rate shock to measure the impact effect of the U.S.D, Yen and Eurodollar exchange rate shock mean and volatility spillover to stock markets. The empirical results of the CCC-MGARCH shows the negative correlation between the unexpected U.S.D-RMB at China stock markets indicate that unexpected shock will have a negative effect to the China stock markets. The positive correlation of New York Dow Jones and two China stock markets show that the increase of New York stock market index will increase the China stock market index. From the DCC-MGARCH(1,1) model, the positive and significant value of £\ and £] show ARCH and GARCH effect exist. The DCC parameters are insignificantly and the sum value of the parameters is less than one, show that model is mean reverting.

Keywords: CCC; and; DCC-MGARCH; Spillover; over; effect; exchange; rate; shock (search for similar items in EconPapers)
JEL-codes: C3 F3 (search for similar items in EconPapers)
Date: 2008-10-10
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Citations: View citations in EconPapers (1)

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