Analysis of volatility spillover effects using trivariate GARCH model

Abstract

One of the main purposes of studying volatility spillover effects is for economic benefits. Such studies provide useful insights into how information is transmitted from one market to another. US financial crisis has an impact on international gold market by some transmission channels. Using trivariate generalized autoregressive conditional heteroscedasticity (GARCH) model, the time-varying volatility relationships between international gold market, Malaysia's gold bullion coins called Kijang Emas (KE) and US index are investigated. The findings are useful to investors, commercial banks and researchers as they look for measures at the policy level that can safeguard and avoid adverse impact of fluctuations in gold prices.

A Hybrid Model of VAR-DCC-GARCH and Wavelet Analysis for Forecasting Volatility

“…In the VAR-DCC-GARCH model, the VAR method is used to estimate the conditional mean equation of the DCC-GARCH model. In this study, we consider the conditional mean equation VAR (1)…”

“…Among the important topics of financial economics are the modeling of volatility, the interdependence of volatility in financial markets, and forecasting. Volatility in financial markets occurs when these markets are at risk [1]. With the spread of information in financial markets, the correlation between markets and their volatility has increased.…”

Crisis financiera global y su impacto en la dinámica bursátil europea y americana

“…Por otro lado, Ping, Ahmad e Ismail (2016) analizan los cambios en la volatilidad a través del tiempo entre el índice accionario estadounidense y los lingotes de oro de Malasya, también llamados KijangEmas (KE); los resultados sugieren la presencia de choques positivos y negativos, así como de efecto derrame en la volatilidad durante la crisis.…”