文章基本信息

标题：Modeling Volatility Transmission in Intra-National Markets of Frontier Economies Using Multivariate GARCH Framework: Evidence from the Nigerian Stock and Bond Markets
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作者：S. Bichi ; S. Bichi ; H. G. Dikko 等
期刊名称：International Journal of Finance and Accounting
印刷版ISSN：2168-4812
电子版ISSN：2168-4820
出版年度：2016
卷号：5
期号：5
页码：221-227
DOI：10.5923/j.ijfa.20160505.01
语种：English
出版社：Scientific & Academic Publishing Co.
摘要：The study adapted the two most popularly use Multivariate GARCH models – the Baba-Engle-Kraft-Kroner (BEKK)- Generalize Autoregressive Conditional Heteroscedasticity (GARCH) model and the Dynamic Conditional Correlation (DCC)- GARCH model in modeling the volatility spillover between the Nigerian Stock and Bond Market. The study modeled the volatility transmission between the two markets using the BEKK form and the DCC form separately. We discovered that the own past shocks affect the current volatility of the Nigeria stock marketand a bidirectional volatility spillover between Nigerian stock and bond markets. We further compared the fitting performance of these two Multivariate GARCH forms and the results reveals that the DCC is the most appropriate model for modeling intra-national volatility transmission in frontier economies, however, according to this analysis this is only valid for the Nigerian stock and bond markets.
关键词：Volatility spillover; Multivariate framework; Stock Market; Bond Market; Transmission