Time-varying betas in Central and Eastern European markets: a bivariate BEKK GARCH approach

Sorin Anton () and Marie Ochem

International Journal of Economic Policy in Emerging Economies, 2013, vol. 6, issue 2, 107-121

Abstract: In this paper, we analyse country risk of eight Central and Eastern European (CEE) countries by calculating time-varying betas. We have used daily closing prices of indices from 3 June 2002 through 2 December 2011, resulting in 2021 observations. The time-varying betas where calculated by applying multivariate GARCH BEKK models under multivariate normal distribution of errors. Results indicate that BEKK models are appropriate on estimating time-varying beta for Czech Republic, Hungary, Estonia, Lithuania, Poland, Romania, and Russia, except for Latvia. Moreover, the behaviour of time-varying betas during the crisis differs between CEE markets. Countries with flat exchange rates seem to eliminate some of the country risk. For Romania and Hungary, time-varying beta increase was eliminated due to assistance of the International Monetary Fund during the crisis.

Keywords: time-varying beta; country risk; GARCH BEKK model; Central and Eastern Europe; CEE; financial crisis; stock index; emerging markets; Czech Republic; Estonia; Lithuania; Poland; Romania; Russia; Latvia; Hungary. (search for similar items in EconPapers)
Date: 2013
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.inderscience.com/link.php?id=55792 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ids:ijepee:v:6:y:2013:i:2:p:107-121

Access Statistics for this article

More articles in International Journal of Economic Policy in Emerging Economies from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().