文章基本信息

标题：Does the Choice of the Multivariate GARCH Model on Volatility Spillovers Matter? Evidence from Oil Prices and Stock Markets in G7 Countries
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作者：Dimitrios Kartsonakis-Mademlis ; Nikolaos Dritsakis
期刊名称：International Journal of Energy Economics and Policy
电子版ISSN：2146-4553
出版年度：2020
卷号：10
期号：5
页码：164-182
DOI：10.32479/ijeep.9469
出版社：EconJournals
摘要：In this paper, we employ asymmetric multivariate GARCH approaches to examine their performance on the volatility interactions between global crude oil prices and seven major stock market indices. Insofar as volatility spillover across these markets is a crucial element for portfolio diversification and risk management, we also examine the optimal weights and hedge ratios for oil-stock portfolio holdings with respect to the results. Our findings highlight the superiority of the asymmetric BEKK model and the fact that the choice of the model is of crucial importance given the conflicting results we got. Finally, our results imply that oil assets should be a part of a diversified portfolio of stocks as they increase the risk-adjusted performance of the hedged portfolio.
关键词：Asymmetry;Multivariate GARCH;Stock market;Oil price;Volatility Spillover