Empirical Analysis of Volatility and Co-movements in Serbian Frontier Financial Market: MGARCH Approach

Minović Jelena
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Minović Jelena: Belgrade Banking Academy, Faculty for Banking, Insurance and Finance, Union University

South East European Journal of Economics and Business, 2010, vol. 5, issue 1, 39-55

Abstract: This article presents an empirical calculation of volatility and co-movements for selected securities listed at the Belgrade Stock Exchange (www.belex.rs). It applied multivariate GARCH (MGARCH) models to the analysis of comovements in the Serbian frontier financial market. For the empirical work, bivariate and trivariate versions of the restricted BEKK, DVEC, and CCC models were used. Empirical results showed that MGARCH models overcome the usual concept of the time invariant correlation coefficient. Additionaly, the results show that the conditional variances and covariances between returns on the Serbian financial market exhibit significant changes over time.

Keywords: Volatility; conditional covariance; multivariate GARCH models; maximum likelihood estimation; two-step estimation; Volatility; conditional covariance; multivariate GARCH models; maximum likelihood estimation; two-step estimation (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:seejeb:v:5:y:2010:i:1:p:39-55:n:4

DOI: 10.2478/v10033-010-0004-5

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