Economics at your fingertips  

Investigating Volatility Transmissions among Sovereign Bonds in African and Emerging Markets Using Multivariate GARCH Models

Negash Debalke

MPRA Paper from University Library of Munich, Germany

Abstract: The study examined volatility transmissions between Ethiopia and Ghana's sovereign bonds and emerging markets. Five Multivariate GARCH models were estimated using time series price indices. AIC and BIC criteria identified the VCC-MGARCH model as the best. The result shows own-volatility spillovers are higher than cross-volatility spillovers. In addition, it confirms cross-spillovers were unidirectional, from emerging markets to Ethiopia, with no significant spillover to Ghana. There is no bidirectional volatility spillover. Both Ethiopia and Ghana exhibit significant ARCH and GARCH effects, emphasizing the importance of addressing past variations and squared returns in volatility management. Significant adjustment parameters suggest that deviations from long-term equilibrium are corrected, indicating the markets’ stability mechanisms. Thus, policymakers should monitor these mechanisms for market stability. Finally, policy implications emphasize monitoring and managing external influences, addressing market dynamics persistence, and implementing policies to reduce excessive volatility.

Keywords: Sovereign Bond; Ethiopia; Ghana; Africa; Emerging Markets; Return; Volatility; Spillover; M-GARCH. (search for similar items in EconPapers)
JEL-codes: E58 E63 F65 (search for similar items in EconPapers)
Date: 2023-08-22
New Economics Papers: this item is included in nep-afr and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) ... 20using%20MGARCH.pdf original version (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:

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().

Page updated 2023-11-11
Handle: RePEc:pra:mprapa:118447