文章基本信息

标题：Testing and Predicting Volatility Spillover—A Multivariate GJR-GARCH Approach
本地全文：下载
作者：Hira Aftab ; Rabiul Alam Beg ; Sizhong Sun 等
期刊名称：Theoretical Economics Letters
印刷版ISSN：2162-2078
电子版ISSN：2162-2086
出版年度：2019
卷号：9
期号：1
页码：83-99
DOI：10.4236/tel.2019.91008
出版社：Scientific Research Publishing
摘要：This paper proposes a multivariate VAR-BEKK-GJR-GARCH volatility model to assess the dynamic interdependence among stock, bond and money market returns and volatility of returns. The proposed model allows for market interaction which provides useful information for pricing securities, measuring value-at-risk (VaR), and asset allocation and diversification, assisting financial regulators for policy implementation. The model is estimated by the maximum likelihood method with Student-t innovation density. The asymptotic chi-square tests for volatility spillovers and leverage effects are constructed and provide predictions of volatility and time-varying correlations of returns. Application of the proposed model to the Australia’s domestic stock, bond, and money markets reveals that the domestic financial markets are interdependent and volatility is predictable. In general, volatility spillovers from stock market to bond and to money markets due to common news. The empirical findings of this paper quantify the association among the security markets which can be utilized for improving agents’ decision-making strategies for risk management, portfolio selection and diversification.
关键词：Asymmetric News;Diversification;Spillovers;Multivariate-t;Chi-Square Test