A DCC-GARCH Model To Estimate the Risk to the Capital Market in Romania
Marius Acatrinei (),
Adrian Gorun and
Nicu Marcu ()
Additional contact information
Adrian Gorun: Constantin Brancusi University of Targu Jiu
Journal for Economic Forecasting, 2013, issue 1, 136-148
In this paper we propose to study if the standard and asymmetric dynamic conditional correlation (DCC) models, following Cappiello et al. (2006), may capture spillover effects and the degree of interaction with the European capital market using the DAX index as proxy. We found evidence that the asymmetric DCC models perform better than the similar non-asymmetric ones. In the second semester of 2011, increased significant dynamic correlations suggest the presence of volatility spillovers from the main capital equity markets. Although all DCC models can capture contagion, seen as a significant increase in the co-movements of stock index returns, the AGD-DCC model is more sensitive to unexpected changes in returns. The results indicate significant, but not very strong correlation of BET and BETFI indexes with the DAX index in the second semester of 2011.
Keywords: volatility spillovers; contagion effects; stock return comovem (search for similar items in EconPapers)
JEL-codes: G01 G14 G32 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:rjr:romjef:v::y:2013:i:1:p:136-148
Access Statistics for this article
Journal for Economic Forecasting is currently edited by Lucian Liviu Albu and Corina Saman
More articles in Journal for Economic Forecasting from Institute for Economic Forecasting Contact information at EDIRC.
Bibliographic data for series maintained by Corina Saman ().