The Multivariate DCC-GARCH Model with Interdependence among Markets in Conditional Variances’ Equations

Marcin Faldzinski () and Michal Pietrzak

No 164/2015, Working Papers from Institute of Economic Research

Abstract: The article seeks to investigate the issue of interdependence that during crisis periods in the capital markets is of particular importance due to the likelihood of causing a crisis in the real economy. The research objective of the article is to identify this interdependence in volatility. Therefore, first we propose our own modification of the DCC-GARCH model which is so designed as to test for interdependence in conditional variance. Then, the DCC-GARCH-In model was used to study interdependence in volatility of selected stock market indices. The results of the research confirmed the presence of interdependence among the selected markets.

Keywords: DCC-GARCH model; interdependence; conditional variance (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Date: 2015-11
New Economics Papers: this item is included in nep-ecm and nep-ets
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.badania-gospodarcze.pl/images/Working_Papers/2015_No_164.pdf First version, 2015 (application/pdf)

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:pes:wpaper:2015:no164

Access Statistics for this paper

More papers in Working Papers from Institute of Economic Research Contact information at EDIRC.
Bibliographic data for series maintained by Adam P. Balcerzak ( this e-mail address is bad, please contact ).