Journal articles: 'VAR-BEKK-GARCH'

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Arfaoui, Mongi, and Aymen Ben Rejeb. "Return Dynamics and Volatility Spillovers Between FOREX and Stock Markets in MENA Countries: What to Remember for Portfolio Choice?" International Journal of Management and Economics 46, no. 1 (June 1, 2015): 72–100. http://dx.doi.org/10.1515/ijme-2015-0022.

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Abstract This article investigates the interdependence of stock-forex markets in MENA (Middle East and North Africa) countries for the February 26, 1999 to June 30, 2014 period. The analysis has been performed through three competing models: the VAR-CCC-GARCH model of Bollerslev [1990]; the VAR-BEKK-GARCH model of Engle and Kroner [1995]; and the VAR-DCC-GARCH model of Engle [2002]. Our findings confirm that both markets are interdependent and corroborate the stock and flow oriented approaches. We also find that, comparing to optimal weights, hedge ratios are typically low, denoting that hedging efficiency is quite good. Our estimation of hedging efficiency suggests that incorporating foreign exchange in a full stock, unhedged portfolio increases the risk-adjusted return while reducing its variance. (We note here that the forex market is overweighted for both portfolio allocations and hedging strategies.) Moreover, this conclusion holds for all countries in all three models.

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Chen, Hao, Zhixin Liu, Yinpeng Zhang, and You Wu. "The Linkages of Carbon Spot-Futures: Evidence from EU-ETS in the Third Phase." Sustainability 12, no. 6 (March 23, 2020): 2517. http://dx.doi.org/10.3390/su12062517.

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Based on the prices selected from European Energy Exchange (EEX) from 2013 to 2018, we investigate the inter-correlation of carbon spot and futures markets. Specifically, we adopt the widely used DCC-GARCH model and VAR-BEKK-GARCH model to conduct a comprehensive analysis on the carbon market, i.e., the dynamic correlation and volatility spillover between carbon spot and carbon futures. Moreover, we develop a hedge strategy based on the VAR-BEKK-GARCH model and calculate the hedging effectiveness (HE) value to evaluate the strategy performance. The empirical results show that (i) during our sample period, carbon spot and futures markets are highly correlated, (ii) carbon spot overflows to the futures market and vice versa, and (iii) the HE value is equal to 0.9370, indicating a good performance for the hedging strategy. Then, we provide further discussion on the relationship between carbon spot and futures markets by replacing our dataset with the data of phase II. The results do not change our conclusions on the dynamic correlation and volatility spillover. However, the HE value of phase III is higher than that of phase II, which indicates that the carbon futures market of phase III is not only an available market to hedge risk from the contemporaneous carbon spot market but also has a better hedge effectiveness than phase II.

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Su, Ruixin, Jianguo Du, Fakhar Shahzad, and Xingle Long. "Unveiling the Effect of Mean and Volatility Spillover between the United States Economic Policy Uncertainty and WTI Crude Oil Price." Sustainability 12, no. 16 (August 18, 2020): 6662. http://dx.doi.org/10.3390/su12166662.

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Grounded in the Granger causality test, vector autoregression (VAR) model, and BEKK-GARCH model, our current study aims to examine the effect of mean and volatility spillover between the United States (US) economic policy uncertainty (EPU) and West Texas Intermediate (WTI) crude oil price. Using the US EPU monthly index and WTI spot price data from 1996 to 2019, we revealed that there is a one-way Granger causality link between the US EPU and spot price of WTI crude oil. The VAR model not only illustrated that there is a mean spillover effect between WTI oil price and US EPU, but they will also be affected by its memory, as well as the other’s past. At the same time, it also pointed out that this correlation has positive and negative directions. The BEKK-GARCH model test yielded similar conclusions to the VAR model and, importantly, proved a two-way volatility spillover effect between the US EPU and WTI spot price fluctuations. In conclusion, US economic policy has a substantial influence on the variation of global crude oil prices, as an essential strategic reserve resource and will also influence the government’s economic policy formulation. Understanding the association between WTI crude oil price and policy uncertainty not only helps investors to manage assets allocations and mitigate losses but also guides US policymakers to adjust the energy structure for economic sustainability.

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Gyamerah, Samuel Asante, Bright Emmanuel Owusu, and and Ellis Kofi Akwaa-Sekyi. "Modelling the mean and volatility spillover between green bond market and renewable energy stock market." Green Finance 4, no. 3 (2022): 310–28. http://dx.doi.org/10.3934/gf.2022015.

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<abstract><p>In this paper,we investigate the mean and volatility spillover between the price of green bonds and the price of renewable energy stocks using daily price series from 02/11/2011 to 31/08/2021. The unrestricted trivariate VAR-BEKK-GARCH model is employed to examine potential causality,mean,and volatility spillover effects from the green bond market to the renewable energy stock market and vice-versa. The results from the VAR-BEKK-GARCH model indicate that there exists a uni-directional Granger causality from renewable energy stock prices to green bond prices. While the price of green bonds is positively influenced by its own lagged values and the lagged values of renewable energy stock prices,only the past price value of renewable energy stocks has a positive effect on the current price value. We identified a uni-directional volatility spillover from renewable energy stock prices to green bond prices. However,there was no shock spillover from both sides of the market. This research shows that investors in the green bond market should always consider information from the renewable energy stock market because of the causal link between renewable energy stocks and green bonds.</p></abstract>

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VARDAR, Gülin, Caner TAÇOĞLU, and Berna AYDOĞAN. "Quantifying Return and Volatility Spillovers among Major Cryptocurrencies: A VAR-BEKK-GARCH Analysis." Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi 17, no. 3 (December 1, 2022): 911–33. http://dx.doi.org/10.17153/oguiibf.1145664.

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This study investigates mean and volatility spillover effects among eight major cryptocurrencies; Bitcoin, Ethereum, Litecoin, Ripple, Stellar, Bitcoin Cash, Cardano and EOS utilizing VAR-BEKK-GARCH model. The results point out that there are bidirectional and unidirectional spillover effects among these major cryptocurrencies. Moreover, the findings indicate that some cryptocurrencies are the transmitter, while others act as a receiver and among all, Litecoin is the highest transmitter, and Stellar is the only one that acts as a receiver. The interdependence among cryptocurrencies supports that they are becoming more integrated and thereby, provides important investment strategies for investors and policy implications for regulators.

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Su, Jung-Bin, and Jui-Cheng Hung. "The Value-At-Risk Estimate of Stock and Currency-Stock Portfolios’ Returns." Risks 6, no. 4 (November 16, 2018): 133. http://dx.doi.org/10.3390/risks6040133.

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This study utilizes the seven bivariate generalized autoregressive conditional heteroskedasticity (GARCH) models to forecast the out-of-sample value-at-risk (VaR) of 21 stock portfolios and seven currency-stock portfolios with three weight combinations, and then employs three accuracy tests and one efficiency test to evaluate the VaR forecast performance for the above models. The seven models are constructed by four types of bivariate variance-covariance specifications and two approaches of parameters estimates. The four types of bivariate variance-covariance specifications are the constant conditional correlation (CCC), asymmetric and symmetric dynamic conditional correlation (ADCC and DCC), and the BEKK, whereas the two types of approach include the standard and non-standard approaches. Empirical results show that, regarding the accuracy tests, the VaR forecast performance of stock portfolios varies with the variance-covariance specifications and the approaches of parameters estimate, whereas it does not vary with the weight combinations of portfolios. Conversely, the VaR forecast performance of currency-stock portfolios is almost the same for all models and still does not vary with the weight combinations of portfolios. Regarding the efficiency test via market risk capital, the NS-BEKK model is the most suitable model to be used in the stock and currency-stock portfolios for bank risk managers irrespective of the weight combination of portfolios.

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Jin, Xue, Shiwei Zhou, Kedong Yin, and Mingzhen Li. "Relationships between Copper Futures Markets from the Perspective of Jump Diffusion." Mathematics 9, no. 18 (September 15, 2021): 2268. http://dx.doi.org/10.3390/math9182268.

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This paper analyzes the price correlation effect between domestic and foreign copper futures contracts. The VAR-BEKK-GARCH (1,1) spillover effect model and the BN-S class non-parametric model based on the jumping perspective are used. The co-integration test shows a long-term equilibrium relationship between the three copper futures markets, and the Granger causality test shows that copper futures contracts have significant two-way spillover effects between different periods in Shanghai for New York copper and unidirectional mean spillover effects for London copper. The BEKK model shows significant bidirectional fluctuation spillover effects between the futures contracts of the Shanghai, London, and New York copper markets before the stock market crash. After the crash, Shanghai and New York copper have significant one-way fluctuation spillover effects on London copper futures contracts. There are jumps within a single market, and the number of joint jumps between markets increases with the significance level.

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Zou, Shaohui, and Tian Zhang. "Correlation and Dynamic Volatility Spillover between Green Investing Market, Coal Market, and CO2 Emissions: Evidence from Shenzhen Carbon Market in China." Advances in Civil Engineering 2022 (January 10, 2022): 1–13. http://dx.doi.org/10.1155/2022/7523563.

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With the continuous expansion scale of carbon market and the development of carbon trading mechanism, carbon emission right, as a new financial asset, is being brought into the category of asset allocation by more and more investors. As the burning of coal is the major source of carbon dioxide, China is facing serious ecological and environmental problems, which restrict the development of low-carbon economy. In order to reach the carbon dioxide emission reduction targets and promote the development of green investment market, the carbon market should be a good emission reduction measure. The correlation and dynamic volatility spillover among coal, carbon, and green investing markets are becoming a hot topic for current research. The paper applies both VAR-GARCH-DCC and VAR-GARCH-BEKK models to draw some significant conclusions. (1) The green investment market, coal market, and Shenzhen carbon market show obvious time-varying correlation, and the volatility of the green investment market is higher. (2) There is a bidirectional Granger causality between green investing and coal markets. (3) The investment portfolio and hedging mechanism of the market are established to reduce the risk and help investors obtain higher returns.

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Pan, Wenjun, Huida Zhao, and Lin Miu. "An Empirical Study on Supply Chain Risk Contagion Effect Based on VAR-GARCH (1,1)–BEKK Model." Wireless Personal Communications 109, no. 2 (May 24, 2019): 761–75. http://dx.doi.org/10.1007/s11277-019-06589-3.

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Al-Nassar, Nassar S., and Beljid Makram. "The COVID-19 Outbreak and Risk–Return Spillovers between Main and SME Stock Markets in the MENA Region." International Journal of Financial Studies 10, no. 1 (January 4, 2022): 6. http://dx.doi.org/10.3390/ijfs10010006.

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This study investigates return and asymmetric volatility spillovers and dynamic correlations between the main and small and medium-sized enterprise (SME) stock markets in Saudi Arabia and Egypt for the periods before and during the COVID-19 pandemic. Return and volatility spillovers are modelled using a VAR-asymmetric BEKK–GARCH (1,1) model, while a VAR-asymmetric DCC–GARCH (1,1) model is employed to model the dynamic conditional correlations between these markets, which are then used to determine and explore portfolio design and hedging implications. The results show that while bidirectional return spillovers between the main and SME stock markets are limited to Saudi Arabia, shock and volatility spillovers have different characteristics and dynamics in both main–SME market pairs. In addition, the dynamic correlations between the main and SME markets are mostly positive and have notably increased during the COVID-19 pandemic, particularly in Saudi Arabia, suggesting that adding SME stocks to a main stock portfolio enhances its risk-adjusted return, especially during tranquil market phases. One practical implication of our results is that the development of SME stock markets can indirectly contribute to economic development via the main market channel and provide an avenue for portfolio diversification and risk management.

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Zhou, Decai, Yiqing He, Lujun Hong, and Yuchen Liu. "Empirical analysis of spillover effects between China's financial markets based on five-variable VAR-GARCH-BEKK model." International Journal of Applied Systemic Studies 5, no. 4 (2014): 262. http://dx.doi.org/10.1504/ijass.2014.065691.

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Vivi Melia Hariono and Rofikoh Rokhim. "Volatility Spillover Stock Price Index during the COVID-19 Pandemic: A Study from ASEAN on the United States and China." Proceedings of International Conference on Economics Business and Government Challenges 1, no. 1 (September 13, 2022): 212–21. http://dx.doi.org/10.33005/ic-ebgc.v1i1.22.

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The COVID-19 pandemic had a major impact on the world economy by restricting economic activity, including stock prices. This article examines effects of volatility spillover in the midst of the COVID-19 also at the early recovery period from the crisis using stock price index data from China, US, and ASEAN: Indonesia, Malaysia, Singapore, Philippines, and Thailand. The research was conducted using the BEKK-GARCH model to see the effect ofvolatility between countries. In the correlation test, we found that in the post-crisis period caused by COVID-19, the correlation between the US and ASEAN increased, while against China and ASEAN it decreased, and relations between ASEAN countries also decreased after the crisis period. From the VAR modeling, it was found that the S&P500 during the post-crisis period experienced a decrease in the value of transmission to ASEAN. In contrast to the SSE, which actually experienced an increase in the value of transmission to ASEAN in the post-crisis. In the results of the BEKK-GARCH modeling, it was found that the shocks that occurred in the S&P500 stock market during the pre-crisis period did not affect the volatility of JKSE & SETI returns in the post-crisis period. In contrast to the S&P500 and KLSE, STI, PSEI, where the shocks that occurred during the pre-crisis period, positively affected the post-crisis period. Between SSE and KLSE & PSEI, during the post-crisis period there was an increase, meaning that the shocks that occurred in the SSE stock market during the pre-crisis period positively affected KLSE & PSEI's return volatility in the post-crisis period. In contrast between SSE and JKSE, STI, SETI, the shocks that occurred during the pre-crisis period did not affect the shares of the 3 ASEAN countries during the post-crisis period. Keywords: BEKK; MGARCH; COVID-19; volatility; spillover; index

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Vardar, Gulin, and Berna Aydogan. "Return and volatility spillovers between Bitcoin and other asset classes in Turkey." EuroMed Journal of Business 14, no. 3 (October 7, 2019): 209–20. http://dx.doi.org/10.1108/emjb-10-2018-0066.

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Purpose With a substantial return and volatility characteristic of Bitcoin, which may be seen as a new category of investment assets, better understanding of the nature of return and volatility spillover can help investors and regulators in achieving the potential goal from portfolio diversification. The paper aims to discuss these issues. Design/methodology/approach This paper explores the return and volatility transmission between the Bitcoin, as the largest cryptocurrency, and other traditional asset classes, namely stock, bond and currencies from the standpoint of Turkey over the period July, 2010–June, 2018 using the newly developed multivariate econometric technique, VAR–GARCH, in mean framework with the BEKK representation. Findings The empirical results reveal the existence of the positive unilateral return spillovers from the bond market to Bitcoin market. Regarding the results of shock and volatility spillovers, there exists strong evidence of bidirectional cross-market shock and volatility spillover effects between Bitcoin and all other financial asset classes, except US Dollar exchange rate. Originality/value The important extention is the adoption of a newly developed multivariate econometric technique, VAR–GARCH, in mean framework with the BEKK representation, proposed by Engle and Kroner (1995), which is employed for the first time specifically to examine the extent of integration in terms of volatility and return between Bitcoin and key asset classes. Second, Bitcoin has experienced a rapid growth since around a decade and a number of investors are showing interest in its potential as an integrative part of portfolio diversification. The information provided by empirical results gives empirical bases from which to address topics concerning hedging purposes and optimal portfolio allocation. It is also increasingly important to analyze the current behavior of Bitcoin in relation to other assets to provide policy makers and regulatory bodies with guidance on the role of the Bitcoin as an investment asset in Turkey. Thus, this is the first serious attempt at exploring the potential for Bitcoin to offer diversification opportunities in the context of Turkey.

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Do, Hung Quang, M. Ishaq Bhatti, and László Kónya. "On ASEAN capital market and industry integration: A review." Corporate Ownership and Control 13, no. 2 (2016): 8–22. http://dx.doi.org/10.22495/cocv13i2p1.

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Due to the benefits of investment diversification across markets and industries, and the increasing importance of ASEAN capital markets, this paper attempts to review recent studies on capital market integration and investment implications in six selected ASEAN countries. Several methodologies including VAR, GARCH, Copula and DCC, Bayesian approach, CAPM and factor models have been examined in this research. Most of the existing studies consider the capital market integration and its investment implications at a country level, whereas this paper attempts to extend the analysis to the industry level of integration. It also reviews the uses of a VARMA-MGARCH-asymmetric BEKK models to investigate the integration at industry levels in recommending investment diversification. The findings of this paper may provide guidance to academia, investors and policy makers on asset diversification.

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Bonga-Bonga, Lumengo, and Tebogo Maake. "The Relationship between Carry Trade and Asset Markets in South Africa." Journal of Risk and Financial Management 14, no. 7 (July 1, 2021): 300. http://dx.doi.org/10.3390/jrfm14070300.

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This paper investigates the extent of volatility or risk spillovers between the currency carry trade and asset markets, namely the equity and bond markets, in South Africa to infer the extent of the connectivity between the two markets. The carry trade operation examined in this paper involves two strategies, both of which use the South African rand as the investment currency, with the U.S. dollar and the Japanese yen as the funding currencies. The vector autoregressive BEKK-Generalised Autoregressive Conditional Heteroscedastic (multivariate VAR-BEKK-GARCH) model is used to this end. Moreover, the paper assesses the dynamic correlation between each currency carry trade and asset markets to infer the time-varying dependence between the two markets. The results of the empirical analysis show evidence of volatility spillover between the carry trade returns and the two asset market returns. The extent of the spillover depends on the choice of the funding currency, with the U.S. dollar-funded strategy transmitting more shocks to the South African equity market compared to the bond market. Moreover, the synchronisation of the dynamic correlation between each asset market and the currency carry trade returns shows that any possibility of arbitrage is precluded in the currency carry trade market.

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Hung, Ngo Thai. "Return and volatility spillover across equity markets between China and Southeast Asian countries." Journal of Economics, Finance and Administrative Science 24, no. 47 (April 29, 2019): 66–81. http://dx.doi.org/10.1108/jefas-10-2018-0106.

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Purpose This paper aims to study the daily returns and volatility spillover effects in common stock prices between China and four countries in Southeast Asia (Vietnam, Thailand, Singapore and Malaysia). Design/methodology/approach The analysis uses a vector autoregression with a bivariate GARCH-BEKK model to capture return linkage and volatility transmission spanning the period including the pre- and post-2008 Global Financial Crisis. Findings The main empirical result is that the volatility of the Chinese market has had a significant impact on the other markets in the data sample. For the stock return, linkage between China and other markets seems to be remarkable during and after the Global Financial Crisis. Notably, the findings also indicate that the stock markets are more substantially integrated into the crisis. Practical implications The results have considerable implications for portfolio managers and institutional investors in the evaluation of investment and asset allocation decisions. The market participants should pay more attention to assess the worth of across linkages among the markets and their volatility transmissions. Additionally, international portfolio managers and hedgers may be better able to understand how the volatility linkage between stock markets interrelated overtime; this situation might provide them benefit in forecasting the behavior of this market by capturing the other market information. Originality/value This paper would complement the emerging body of existing literature by examining how China stock market impacts on their neighboring countries including Vietnam, Thailand, Singapore and Malaysia. Furthermore, this is the first investigation capturing return linkage and volatility spill over between China market and the four Southeast Asian markets by using bivariate VAR-GARCH-BEKK model. The authors believe that the results of this research’s empirical analysis would amplify the systematic understanding of spillover activities between China stock market and other stock markets.

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Kumar, Manish. "Returns and volatility spillover between stock prices and exchange rates." International Journal of Emerging Markets 8, no. 2 (April 5, 2013): 108–28. http://dx.doi.org/10.1108/17468801311306984.

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PurposeThe purpose of this paper is to analyze the nature of returns and volatility spillovers between exchange rates and stock price in the IBSA nations (India, Brazil, South Africa).Design/methodology/approachThe study uses VAR framework and the recently proposed Spillover measure of Diebold and Yilmaz to examine the returns and volatility spillover between exchange rates and stock prices of IBSA nations. In addition, multivariate GARCH with time varying variance‐covariance BEKK model is used as a benchmark against the spillover methodology proposed by Diebold and Yilmaz.FindingsThe results of multivariate GARCH model suggests the integration between stock and foreign exchange markets and indicates the existence of bi‐directional volatility spillover between stock and foreign exchange markets in the IBSA countries. Spillover results using the Diebold Yilmaz model suggest the bi‐directional contribution between stock and foreign exchange market, in terms of both returns and volatility spillovers. Overall, results confirm the presence of returns and volatility spillovers within the IBSA nations and, in particular, the stock markets play a relatively more important role than foreign exchange markets in the first and second moment interactions and spillovers.Practical implicationsThe market participants may consider the relationship between the exchange rate and stock index to predict the future movement of each other effectively. Multinational companies interested in exchange rate forecasting may consider the stock market as an important attribute. There is an interesting implication for portfolio managers too because of the spillover stock and foreign exchange markets. This knowledge would help to create a fund which performs well. Moreover, the paper can help regulators and policy makers in IBSA nations to understand the structure of the market in a better way and then design their policies.Originality/valueThe study contributes to the literature by extending the existing studies on the spillover between stock price and exchange rate by investigating the issue for three emerging economies, India, Brazil and South Africa. Unlike most studies in the literature which focus on multivariate GARCH model, this is the first study which explores the issue of returns and volatility spillover between the stock prices and the exchange rates using spillover measure of Diebold and Yilmaz and much longer and recent daily data. Moreover, multivariate GARCH with time varying variance‐covariance BEKK model is used as a benchmark against the spillover methodology proposed by Diebold and Yilmaz.

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Darinda, Dwika, and Fikri C. Permana. "Volatility Spillover Effects In Asean-5 Stock Market: Does The Different Oil Price Era Change The Pattern?" Kajian Ekonomi dan Keuangan 3, no. 2 (August 31, 2019): 116–34. http://dx.doi.org/10.31685/kek.v3i2.484.

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The aim of this study is to identify the pattern of volatility transmission in ASEAN-5 (Indonesia, Malaysia, Thailand, Singapore and the Philippines) stock market by examine Global Macro Shocks (proxyed by Brent oil price); Cross-Market Linkages (proxied by Dow Jones Index); and Economic Fundamental (proxied by exchange rate) as the sources of volatility. This paper utilizing VAR and asymmetric GARCH (1,1)-BEKK model using the daily data between 4 January 2012 and 30 June 2017. The result shows that all independent variables have a significant volatility transmission to every ASEAN-5 stock market. Then in order to capture the different volatility transmission pattern, we divided the data into two periods which are “high-oil price” era and “low-oil price” era. Besides the different rate of volatility, we also find a different pattern of volatility transmission at Malaysia stock market (KLCI); Thailand stock market (SETI); and at Philippines stock market (PSEI) between these two eras.

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Chen, Yufeng, Biao Zheng, and Fang Qu. "Modeling the nexus of crude oil, new energy and rare earth in China: An asymmetric VAR-BEKK (DCC)-GARCH approach." Resources Policy 65 (March 2020): 101545. http://dx.doi.org/10.1016/j.resourpol.2019.101545.

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Yu, Lean, Rui Zha, Dimitrios Stafylas, Kaijian He, and Jia Liu. "Dependences and volatility spillovers between the oil and stock markets: New evidence from the copula and VAR-BEKK-GARCH models." International Review of Financial Analysis 68 (March 2020): 101280. http://dx.doi.org/10.1016/j.irfa.2018.11.007.

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Wang, Wenbo, and Hail Park. "How Vulnerable Are Financial Markets to COVID-19? A Comparative Study of the US and South Korea." Sustainability 13, no. 10 (May 17, 2021): 5587. http://dx.doi.org/10.3390/su13105587.

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In this study, we carry out a comparative analysis between the US and South Korea, with a special attention to three key areas, including the stock market, the currency market, and the bond market. By employing a composite model, VAR-GARCH-BEKK, we will attempt to capture both mean and volatility spillovers between the pandemic and financial markets, so as to explore the extent and ways in which the COVID-19 pandemic influences the financial sector. The empirical results provide substantial evidence in the following areas: (i) South Korea seems more vulnerable since all of its financial markets are seen to be statistically associated with the growth in infections. (ii) For the US, only the stock market is negatively impacted by the confirmed cases in terms of a conditional mean spillover model. (iii) According to the impulse response functions (IRFs), apart from the US dollar index, both the TED spread and stock returns respond significantly to innovations from the pandemic. (iv) There is little evidence to support the presence of volatility transmission from the pandemic to the financial markets in the two countries.

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Yu, Xiaoling, and Kaitian Xiao. "Dependencies and Volatility Spillovers among Chinese Stock and Crude Oil Future Markets: Evidence from Time-Varying Copula and BEKK-GARCH Models." Journal of Risk and Financial Management 15, no. 11 (October 24, 2022): 491. http://dx.doi.org/10.3390/jrfm15110491.

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This paper investigates co-movements among the Chinese stock market, Shanghai International Energy Exchange (INE) crude oil futures and West Texas Intermediate (WTI) crude oil futures. We use Copula models to capture tail dependencies and employ the VAR-BEKK-GARCH model to examine the direction of volatility spillovers. We find that there are positively time-varying dependency relationships among the three markets. Compared with the corresponding upper-tail dependencies, the lower-tail dependencies were larger before the COVID-19 pandemic while relatively weaker after the breakout of the pandemic. Before the COVID-19 pandemic, there was only a statistically significant volatility spillover from WTI crude oil future market to the INE crude oil future market. After the breakout of the COVID-19 pandemic, there were statistically significant volatility spillovers in the two pairs of markets, namely, the WTI–INE and Chinese stock–WTI. However, we only find statistically significant evidence of unidirectional volatility spillover from the Chinese crude oil future market to the Chinese stock market during the pandemic.

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Da Silva, Carlos Alberto Gonçalves. "Transmissão de preços da commodity soja no mercado internacional Brasil e Estados Unidos: Aplicação dos modelos vetorial autoregressivo (VAR) e GARCH-BEKK diagonal / Transmission of soybean commodity prices in the Brazil and United States international market: Application of the autoregressive vector (VAR) and GARCH-BEKK diagonal models." Brazilian Journal of Development 7, no. 11 (November 19, 2021): 106299–323. http://dx.doi.org/10.34117/bjdv7n11-323.

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Da Silva, Carlos Alberto Gonçalves. "Transmissão de preços da commodity soja no mercado internacional Brasil e Estados Unidos: Aplicação dos modelos vetorial autoregressivo (VAR) e GARCH-BEKK diagonal / Transmission of soybean commodity prices in the Brazil and United States international market: Application of the autoregressive vector (VAR) and GARCH-BEKK diagonal models." Brazilian Journal of Development 7, no. 11 (November 9, 2021): 103304–27. http://dx.doi.org/10.34117/bjdv7n11-109.

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G Nagarakatte, Sangeetha, and Natchimuthu Natchimuthu. "Impact of Brexit on bond yields and volatility spillover across France, Germany, UK, USA, and India’s debt markets." Investment Management and Financial Innovations 19, no. 3 (August 29, 2022): 189–202. http://dx.doi.org/10.21511/imfi.19(3).2022.16.

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Britain’s decision to exit the EU lead to disruptions in global markets. This study investigates the change in the return and volatility spillover pattern due to the repercussions of the Brexit vote between the US, France, the UK, Germany, and India’s 10-year government bond yields by applying the VAR and GARCH-BEKK models. The findings demonstrate a substantial rise in the return spillover to India and USA 10-year government bond yields following the Brexit vote compared to the pre-Brexit vote era. In addition, the results showed evidence of unidirectional volatility spillover from India to France, bidirectional volatility spillover between the USA and India, and unidirectional volatility spillover from the UK to India 10-year government bond market post-Brexit vote. However, there was no interconnection between these markets before the Brexit vote. Therefore, the Brexit vote did affect and significantly increased the linkage between the US, France, the UK, and India’s 10-year government bond market. The increase in correlation in India-US, India-UK, and India-France’s 10-year government bond markets will help predict and have an important implication for hedgers, decision-makers, and portfolio managers if similar political events occur in the future.

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Ibikunle, Babatunde Habib, and Seth K. Akutson. "Volatility spill over effect of cryptocurrency prices and foreign exchange in Nigeria." Journal of Global Social Sciences 3, no. 11 (September 1, 2022): 173–97. http://dx.doi.org/10.31039/jgss.v3i11.73.

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The study analyzes the volatility spillover effects of cryptocurrencies and foreign exchange market in Nigeria, covering a two-year period from September 19th, 2019, to September 19th, 2021. It captures a period where the domestic and foreign economy experienced a series of challenges, reflecting on its financial markets and cryptocurrency. The study adopts the Vector Autoregressive - Multivariate Generalized Conditional Heteroskedastic methodological framework, with the Baba, Engle, Kraft, and Kroner transformation (VAR-MGARCH-BEKK), to determine the volatility spillover effect between Nigeria’s Foreign exchange returns and the price returns of four of the largest cryptocurrencies traded in Nigeria. Findings indicate foreign exchange have positive effect on the mean spillovers on cryptocurrencies, and an overall market influence over cryptocurrencies, due to a high GARCH and low ARCH estimate. However, the ARCH parameters show that past errors of foreign exchange market are observed to be vulnerable to external volatilities. Therefore, the study is able to conclude that cryptocurrencies serve as a viable hedging, safe haven and an effective diversification instrument against financial uncertainties, and therefore, recommends optimal diversification strategies and low leverage contracts to avoid the high risks cryptocurrencies present, as they are highly volatile, hence, susceptible to speculative attacks.

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Lee, Yeonjeong, and Seong-Min Yoon. "Dynamic Spillover and Hedging among Carbon, Biofuel and Oil." Energies 13, no. 17 (August 25, 2020): 4382. http://dx.doi.org/10.3390/en13174382.

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In recent years, there has been growing interest in the market interactions between carbon (or clean/renewable energy) and traditional fossil energy such as coal and oil, but few studies have discussed their dynamic volatility spillover and time-varying correlation. To investigate these issues, we used the weekly data of the European Union carbon emission allowance (EUA) futures, biofuel and Brent oil prices from 25 October 2009 to 5 July 2020. We employed the vector autoregressive-generalized autoregressive conditional heteroscedasticity (VAR-GARCH) model with the Baba, Engle, Kraft and Krone (BEKK) specification. Our main findings are summarized as follows: First, we identified the sudden changes and the volatility persistence in the EUA, biofuel, and Brent oil markets, and also confirmed that the volatility of the markets has changed significantly over time. Second, we found a weak volatility spillover effect among the three markets, and a strong spillover effect between the EUA and Brent oil markets. In particular, the effect of volatility spillover from the Brent oil market to the EUA market was the strongest than the other cases. Lastly, in financial market, by holding the EUA and energy sources together as assets, investors can effectively hedge their investment risk. The possibility of hedging is more pronounced between the EUA and biofuel markets.

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G Nagarakatte, Sangeetha, and Natchimuthu Natchimuthu. "Return and volatility spillover between India, UK, USA and European stock markets: The Brexit impact." Investment Management and Financial Innovations 19, no. 1 (February 8, 2022): 121–34. http://dx.doi.org/10.21511/imfi.19(1).2022.09.

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The 2016 Brexit referendum created potential turmoil in financial markets. The purpose of this study is to examine the impact of the Brexit referendum on the return and volatility spillover between the EU, the UK, and the USA stock markets and the Indian stock market during the pre- and post-Brexit referendum period. The VAR and bivariate GARCH BEKK models were employed. The study results suggest that before the Brexit referendum, Indian stock market returns made no significant return spillover on the other markets. On the contrary, following the referendum, Indian stock returns significantly spilled over to France, Germany, the UK, and the USA stock market returns. The study results also identified a substantial increase in the bidirectional volatility spillover between India-France, India-UK, and India-USA during the post-Brexit referendum period. Therefore, the investors’ opportunity to invest simultaneously in India, UK, EU, and US stock markets for portfolio diversification is limited. India was affected mainly by its own past shocks before the Brexit referendum. However, after the Brexit referendum, Indian markets are getting more and more integrated with other markets. In order to reap the diversification benefits, a prudent investment strategy will need to be developed in the future, especially during times of economic and political uncertainty and market crisis.

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Li, Shiyun. "Volatility Spillovers in the CSI300 Futures and Spot Markets in China: Empirical Study Based on Discrete Wavelet Transform and VAR-BEKK-bivariate GARCH Model." Procedia Computer Science 55 (2015): 380–87. http://dx.doi.org/10.1016/j.procs.2015.07.085.

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Chen, Yufeng, Jing Xu, and Jiafeng Miao. "Dynamic volatility contagion across the Baltic dry index, iron ore price and crude oil price under the COVID-19: A copula-VAR-BEKK-GARCH-X approach." Resources Policy 81 (March 2023): 103296. http://dx.doi.org/10.1016/j.resourpol.2023.103296.

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Urak, Faruk, Abdulbaki Bilgic, Gürkan Bozma, Wojciech J. Florkowski, and Erkan Efekan. "Volatility in Live Calf, Live Sheep, and Feed Wheat Return Markets: A Threat to Food Price Stability in Turkey." Agriculture 12, no. 4 (April 16, 2022): 566. http://dx.doi.org/10.3390/agriculture12040566.

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The volatility of meat prices affects the accessibility and even food security of some consumers in Turkey. This study analyses the prices of selected livestock and a major feed component, wheat, as well as the exchange rate of the domestic currency in Turkey because imports augmented the domestic live calf and sheep supply. The analysis applies 470 price observations from January 2005 to October 2019 for each of the following price series: live calf, live sheep, feed wheat, and exchange rate of Turkish lira to US dollar. The series are analyzed by using the VAR-Asymmetric BEKK-GARCH technique. The results show that the elicited conditional variances of the return series were significantly affected by both short-term shocks and shocks across the return series. The uncertainties in the live calf, live sheep, and feed wheat markets were affected by both long-term volatilities and long-term swings in their own and the other markets, but their own market-induced effects were stronger. Similarly, the conditional variances of the returns of live calves, live sheep, and feed wheat were significantly affected by the rapid price ascent in the exchange rate and the periods of livestock imports as compared to the periods when imports were absent. The unfavorable news exerted particularly negative effects on persistent volatility in markets. Additionally, the live sheep market faced greater risks than the live calf or wheat markets and was greatly affected by the limited domestic sheep supply. Results provide knowledge useful in augmenting policy, assuring sustained accessibility to animal protein in Turkey and eliminating food insecurity.

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Liu, Jing, Xin Ding, Xiaoqian Song, Tao Dong, Aiwen Zhao, and Mi Tan. "Research on the Spillover Effect of China’s Carbon Market from the Perspective of Regional Cooperation." Energies 16, no. 2 (January 8, 2023): 740. http://dx.doi.org/10.3390/en16020740.

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After the official launch of China’s unified carbon market, the potential for carbon emission reduction is huge. The pilot regional markets urgently need to be connected with the national carbon market to form a regional synergy and linkage mechanism and further promote the development of a unified carbon market. Spillover effects can be used to analyze the interaction between multiple markets. In this context, this study focuses on the overall spillover relationship among regional carbon trading markets. Using the VAR-GARCH-BEKK model and social network analysis (SNA), this study empirically analyzes the mean spillover effect and volatility spillover effect of regional carbon markets, and it establishes a spillover network between markets. The results show that the spillover effect of China’s regional carbon markets is widespread. Among them, the mean spillover effect is weak, and the impact period is short;. The volatility spillover effect is strong and has various directions; the spillover network connection between regional carbon markets is strong, but the spillover intensity is weak. Spillover effects will spread to the overall carbon market through information spillover paths and risk spillover paths. The stronger spillover effect and the stronger linkage between markets can bring more resource integration and unified supervision. Finally, we put forward policy recommendations, such as improving the carbon market mechanism and enhancing the maturity of carbon market development, increasing the participation and activity of the carbon market to encourage more participants to join the carbon market, improving the institutional system of the carbon market, and effectively supervising the process of information and risk spillover between carbon markets.

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URAK, Faruk, Abdulbaki BILGIC, Vedat DAGDEMIR, and Huseyin OZER. "Estimating the Conditional Variance Volatilities of Beef Carcass, Lamb Carcass, and Fodder Wheat Markets in the Context of Exchange Rate Using VAR(2)- Asymmetric BEKK-GARCH (1,1) Model." Ataturk University Journal of Agricultural Faculty 53, no. 1 (March 22, 2022): 31–41. http://dx.doi.org/10.54614/auaf.2022.956575.

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Bensafta, Kamel Malik, and Gervasio Semedo. "De la transmission de la volatilité à la contagion entre marchés boursiers : l’éclairage d’un modèle VAR non linéaire avec bris structurels en variance." Articles 85, no. 1 (May 18, 2010): 13–76. http://dx.doi.org/10.7202/039734ar.

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Résumé Nous développons dans cet article une modélisation vectorielle autorégressive non linéaire pour l’étude des interdépendances entre les marchés boursiers. Parmi les innovations de ce travail, nous introduisons un bris structurel dans la matrice des variances-covariances conditionnelle d’un processus GARCH multivarié. Dans cet ordre d’idée, nous considérons une spécification BEKK de cette matrice augmentée avec des régresseurs de transmission des chocs de volatilité entre les marchés. L’objectif de cette modification est de répondre à plusieurs biais importants dans la mesure des volatilités et des corrélations entre les marchés : d’une part, le biais de surestimation de la persistance des chocs de volatilité; d’autre part, les biais d’hétéroscédasticité et de variables omises dans la mesure des corrélations. Nous considérons ici un échantillon de 11 marchés boursiers d’Europe, d’Amérique du Nord et d’Asie avec des données hebdomadaires des indices les plus larges entre 1985 et 2006. Plusieurs résultats intéressants sont obtenus avec cette modélisation : la réduction de la persistance des chocs de volatilité; l’évidence d’une transmission des prix et des incertitudes du marché américain vers les marchés européens et asiatiques; l’existence de phénomène de transmission régionale en Europe et en Asie; mis à part le krach américain d’octobre 1987, toutes les crises ne sont pas systématiquement contagieuses. Au final, il n’est pas évident que la libéralisation financière isole les marchés des crises financières diverses, bien que l’intégration soit un vecteur d’efficience des marchés. Les crises et le phénomène de contagion en période de crise peuvent être considérés comme des processus de rééquilibrage des marchés qui doivent être encadrés, régulés et supervisés.

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Qi, Huibo, Chang Liu, Fei Long, Xiaowei Gao, Leifang Hu, and Qitao Wu. "LINKAGE AND SPILLOVER EFFECTS OF CHINA'S CARBON MARKET AND STOCK MARKET UNDER THE BACKGROUND OF CARBON NEUTRALITY: AN ANALYSIS BASED ON INVESTOR SENTIMENT REGULATION." International Journal of Neuropsychopharmacology 25, Supplement_1 (July 1, 2022): A53. http://dx.doi.org/10.1093/ijnp/pyac032.073.

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Abstract Background In September 2020, China put forward the goal of carbon neutrality by 2060, which is of great and far-reaching significance for coping with climate change, achieving sustainable development and promoting the transformation of energy structure. In this context, the carbon market has become an important policy tool to realize China's vision of carbon neutralization. As can be seen from the stock market, the carbon neutralization industrial chain is evolving, and green and low-carbon has become the main investment trend. Therefore, in the context of carbon neutrality, whether there is a connection between China's carbon market and stock market, whether there is spillover effect between them, and what will be based on investors' emotional behavior are the main problems to be solved in this study. Subjects and Methods This paper takes China's carbon market, carbon neutralization concept stock market and thermal power stock market as the main research objects; This paper uses the price index and VaR BEKK GARCH model from January 1, 2019 to December 31, 2020 to study the interaction and spillover effect between the above markets. It also reveals the reasons from the perspective of investment psychology. In order to better study the changes of investors' emotional perception and behavior, this study uses the self rating Depression Scale (SDS) system William W K. Zung compiled the self rating scale in 1965 to measure the severity of depression and its changes in treatment. In 1972, Zung added the corresponding examiner's book and changed the self-evaluation to other evaluation, which is called Depression Status Inventory (DSI). The assessment time span is the latest week. Content: SDS and DSI are composed of 20 declarative sentences and corresponding question entries respectively. Each item is equivalent to a relevant symptom, which is scored on a scale of 1-4. 20 items reflect depression, and four groups of specific symptoms: 1 Psychotic affective symptoms, including depression and crying; 2. Somatic disorders, including eight items: daytime differences in mood, sleep disorders, anorexia, decreased libido, weight loss, constipation, tachycardia and fatigue; 3. Psychomotor disorders, including psychomotor retardation and agitation; 4. Psychological disorders of depression include eight items: confusion of thinking, hopelessness, irritability, indecision, self depreciation, emptiness, repeated thinking, suicide and dissatisfaction. From the scoring method: each item is scored according to four levels: 1, 2, 3 and 4. Ask the subject to read each statement carefully, or the examiner to ask questions one by one, and circle 1 (from none or occasionally), or 2 (sometimes), or 3 (often), or 4 (always) according to the time and frequency most suitable for the subject's situation. Among the 20 items, 10 items (items 2, 5, 6, 11, 12, 14, 16, 17, 18 and 20) are stated with positive words, which are scored in reverse order, and the remaining 10 items are stated with negative words, which are scored in the order of 1-4 above. The depression severity index assessed by SDS and DSI is calculated according to the following formula: depression severity index - cumulative score of each item / 80 (maximum total score). The index range is 0.25-1.0. The higher the index, the heavier the degree of depression. Results 2019 coronavirus disease has a significant impact on the relationship between carbon market and stock market. (1) Affected by 2019 coronavirus disease, CTI first affects cni300 and then TPI; Investors' expectations of earnings are distorted by the extension of the current trend. (2) The two-way average spillover effect between TPI and Guoxin 300 in 2019 has become the one-way average spillover effect in 2020. Investors' psychological bias and thinking shortcuts make them choose to invest in familiar fields. These areas cannot spread investment risks, but will damage their long-term wealth. (3) The amplitudes of cni300 and TPI will change dramatically with historical fluctuations, which confirms that most people's judgment on the profit and loss mentioned in the prospect theory is usually determined according to the reference point. The results showed that impulsive investment was negatively correlated with economic support ability (P < 0.01), and its internal consistency was satisfactory: odd and even items split half correlation: 0.73 (1973) and 0.92. There was a high and moderate correlation between the scores of “d” subscale of MMPI. Zung et al. Also compared the scores of SDS and dis with CG1 score and proposed that those with SDS and dis score index below 0.5 were non depressed; 0.50-0.59 is mild to mild depression; 0.60-0.69 is moderate to severe depression; more than 0.70 is severe depression. Conclusion This shows the confidence of Chinese investors in the national sustainable development initiative. Carbon market performance has become an important reference for investing in carbon neutral concept stocks. Therefore, the government should constantly promote the innovation of carbon trading system while stabilizing the expected return on green and low-carbon investment. In addition, the government should take multiple measures to send sufficient and accurate signals on specific measures to promote carbon neutralization, eliminate unreasonable investment to the greatest extent, and guide the industrial layout through the capital market. Acknowledgements This manuscript was supported by the National Natural Science Foundation of China (71473230) (71803180), and the Philosophy and Social Sciences Planning Project of the Ministry of Education in China (18YJCZH140) (17YJCZH048).

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Ajmi, Hechem, Nadia Arfaoui, and Karima Saci. "Volatility transmission across international markets amid COVID 19 pandemic." Studies in Economics and Finance ahead-of-print, ahead-of-print (June 2, 2021). http://dx.doi.org/10.1108/sef-11-2020-0449.

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Purpose This paper aims to investigate the volatility transmission across stocks, gold and crude oil markets before and during the novel coronavirus (COVID-19) crisis. Design/methodology/approach A multivariate vector autoregression (VAR)-Baba, Engle, Kraft and Kroner generalized autoregressive conditional heteroskedasticity model (BEKK-GARCH) is used to assess volatility transmission across the examined markets. The sample is divided as follows. The first period ranging from 02/01/2019 to 10/03/2020 defines the pre-COVID-19 crisis. The second period is from 11/03/2020 to 05/10/2020, representing the COVID-19 crisis period. Then, a robustness test is used using exponential GARCH models after including an exogenous variable capturing the growth of COVID-19 confirmed death cases worldwide with the aim to test the accuracy of the VAR-BEKK-GARCH estimated results. Findings Results indicate that the interconnectedness among the examined market has been intensified during the COVID-19 crisis, proving the lack of hedging opportunities. It is also found that stocks and Gold markets lead the crude oil market especially during the COVID-19 crisis, which explains the freefall of the crude oil price during the health crisis. Similarly, results show that Gold is most likely to act as a diversifier rather than a hedging tool during the current health crisis. Originality/value Although the recent studies in the field focused on analyzing the relationships between different markets during the first quarter of 2020, this study considers a larger data set with the aim to assess the volatility transmission across the examined international markets Amid the COVID-19 crisis, while it shows the most significant impact on various financial markets compared to other diseases.

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Zeng, Hongjun, and Abdullahi D. Ahmed. "Market integration and volatility spillover across major East Asian stock and Bitcoin markets: an empirical assessment." International Journal of Managerial Finance, August 26, 2022. http://dx.doi.org/10.1108/ijmf-03-2021-0161.

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PurposeThis paper aims to provide new perspectives on the integration of East Asian stock markets and the dynamic volatility transmission to the Bitcoin market utilising daily data from 2014 to 2020.Design/methodology/approachThe authors undertake comprehensive analyses of the dependency dynamics, systemic risk and volatility spillover between major East Asian stock and Bitcoin markets. The authors employ a vine-copula-CoVaR framework and a VAR-BEKK-GARCH method with a Wald test.Findings(a) With exception of KS11 and N225; HSI and SSE; HSI and KS11, which have moderate dependence, dependencies among other markets are low. In terms of tail risk, the upper tail risk is more significant in capturing strong common variation. (b) Two-way and asymmetric risk spillover effects exist in all markets. The Hong Kong and Japanese stock markets have significant risk spillovers to other markets, and quite notably, the Chinese stock market is the largest recipient of systemic risk. However, the authors observe a more significant risk spillover from the Chinese stock market to the Bitcoin market. (c) The VAR-BEKK-GARCH results confirm that the Korean market is a significant emitter of volatility spillovers. The Bitcoin market does provide diversification benefits. Interestingly, the Chinese stock market has an intriguing relationship with Bitcoin. (d) An increase in spillovers in East Asia boosts spillovers to Bitcoin, but there is no intuitive effect of Bitcoin spillovers on East Asian spillovers.Originality/valueFor the first time, the authors examine the dynamic linkage between Bitcoin and the major East Asian stock markets.

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Majumder, Sayantan Bandhu. "Return and Volatility Spillovers Among the Thematic Indices in India." Global Business Review, March 30, 2021, 097215092199547. http://dx.doi.org/10.1177/0972150921995476.

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The article attempts to explore the interlinkages among the Nifty thematic indices and their portfolio implications. First, we examine the return and volatility spillovers among eight Nifty thematic indices, namely Energy, Infrastructure, MNC, PSE, Services Sector, Aditya Birla Group, Mahindra Group and Tata group using the vector autoregressive (VAR (1)) asymmetric BEKK–GARCH model for the period 4 January 2010–28 March 2020. Second, the estimation results are used to calculate and analyse the optimal portfolio weights, hedge ratios and hedging effectiveness. We find significant evidence of return and volatility spillover. Moreover, the spillovers are found to be asymmetric in few cases. The optimal portfolio weight favours the MNC and Services sectors.

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ARFAOUI, NADIA, and IMRAN YOUSAF. "IMPACT OF COVID-19 ON VOLATILITY SPILLOVERS ACROSS INTERNATIONAL MARKETS: EVIDENCE FROM VAR ASYMMETRIC BEKK GARCH MODEL." Annals of Financial Economics 17, no. 01 (March 2022). http://dx.doi.org/10.1142/s201049522250004x.

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This study contributes to the COVID-19 related literature in finance by examining asymmetric volatility spillover across stock, Bitcoin, gold and oil markets before and during the COVID-19 pandemic. Based on multivariate VAR asymmetric BEKK GARCH model, findings show that the interdependency across the examined markets intensified during the recent health crisis. Moreover, we find that oil market appears as major receivers of volatility spillovers, particularly from gold and stock market which is mostly the results of dramatic collapse of oil prices during the COVID-19 outbreak. We also document that gold exhibits a strong resilience during COVID-19 crisis, suggesting its potential hedging ability during uncertainty. As for asymmetric volatility spillover, findings show the highest sensitivity of oil and Bitcoin markets to gold and US stock markets. Our findings have important implications for investors, portfolio managers and policymakers.

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Xu, Xiaojie. "Linear and Nonlinear Causality between Corn Cash and Futures Prices." Journal of Agricultural & Food Industrial Organization 16, no. 2 (August 22, 2018). http://dx.doi.org/10.1515/jafio-2016-0006.

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Abstract This study investigates linear and nonlinear causality between the daily Chicago Board of Trade corn futures price series and each of seven regional cash series from Iowa, Illinois, Indiana, Ohio, Minnesota, Nebraska, and Kansas for January 2006–March 2011. Empirical results suggest bidirectional linear causality between cash and futures prices under a bivariate vector autoregressive model in differences (Bi-VAR-Diff) which consists of the futures and one of the seven cash series that are not cointegrated, and unidirectional linear causality from futures to cash prices under an octavariate vector error correction model (Octa-VECM) which consists of the futures and all of the seven cash series that are cointegrated. With linear relationships among prices removed using the Bi-VAR-Diff or Octa-VECM filtering, nonlinear causality is tested through a bivariate vector autoregressive model in levels (Bi-VAR-Lev) on residuals associated with the futures and a cash series from the linear models, and is found to be unidirectional from the futures market to Illinois, Indiana, and Ohio in general. Finally, a GARCH-BEKK specification is added to a Bi-VAR-Diff or the Octa-VECM to obtain residuals for the nonlinear causality test using a Bi-VAR-Lev, and the futures market leadership against Illinois, Indiana, and Ohio is still identified.

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Zhang, Yinpeng, Panpan Zhu, and Yingying Xu. "Has COVID-19 Changed the Hedge Effectiveness of Bitcoin?" Frontiers in Public Health 9 (July 27, 2021). http://dx.doi.org/10.3389/fpubh.2021.704900.

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The Bitcoin market has become a research hotspot after the outbreak of Covid-19. In this paper, we focus on the relationships between the Bitcoin spot and futures. Specifically, we adopt the vector autoregression-dynamic correlation coefficient-generalized autoregressive conditional heteroskedasticity (VAR-DCC-GARCH) model and vector autoregression-Baba, Engle, Kraft, and Kroner-generalized autoregressive conditional heteroskedasticity (VAR-BEKK-GARCH) models and calculate the hedging effectiveness (HE) value to investigate the dynamic correlation and volatility spillover and assess the risk reduction of the Bitcoin futures to spot. The empirical results show that the Bitcoin spot and futures markets are highly connected; second, there exists a bi-directional volatility spillover between the spot and futures market; third, the HE value is equal to 0.6446, which indicates that Bitcoin futures can indeed hedge the risks in the Bitcoin spot market. Furthermore, we update the data to the post-Covid-19 period to do the robustness checks. The results do not change our conclusion that Bitcoin futures can hedge the risks in the Bitcoin spot market, and besides, the post-Covid-19 results indicate that the hedging ability of Bitcoin futures increased. Finally, we test whether the gold futures can be used as a Bitcoin spot market hedge, and we further control other cryptocurrencies to illustrate the hedging ability of the Bitcoin futures to the Bitcoin spot. Overall, the empirical results in this paper will surely benefit the related investors in the Bitcoin market.

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Babalos, Vassilios, Guglielmo Maria Caporale, and Nicola Spagnolo. "Equity fund flows and stock market returns in the USA before and after the global financial crisis: a VAR-GARCH-in-mean analysis." Empirical Economics, November 12, 2019. http://dx.doi.org/10.1007/s00181-019-01783-5.

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Abstract The 2008–2009 global financial crisis has raised new questions about the relationship between equity fund flows and stock market returns. This paper provides new insights by using US monthly data over the period 2000:1–2015:8 and estimating a VAR-GARCH(1, 1)-in-mean model with a BEKK representation, which also includes a switch dummy for the global financial crisis. We find causality-in-mean from stock market returns to equity fund flows (consistently with the feedback-trading hypothesis) only in the post-September 2008 period. There are also volatility spillovers from stock market returns to equity fund flows both before and after the crisis; however, this relationship is not stable, becoming weaker in the crisis period. As a robustness check, we augment the model with a set of macroeconomic control variables. Their inclusion does not affect the main results.

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Aydoğan, Berna, and Gülin Vardar. "Portfolio flows – exchange rate volatility: is there a puzzling relationship?" Journal of Economic and Administrative Sciences ahead-of-print, ahead-of-print (December 22, 2020). http://dx.doi.org/10.1108/jeas-02-2020-0021.

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PurposeThis study investigates possible shock transmission and volatility spillover effects among the exchange rate changes and international portfolio flows for United States vis-à-vis two fast-growing emerging country groups: the BRICS (Brazil, Russia, India, China and South Africa) and MINT (Mexico, Indonesia, Nigeria and Turkey).Design/methodology/approachApplying VAR-BEKK-GARCH model, the evidence indicates that exchange rate fluctuations have a negative impact on net equity flows in Brazil, Russia, India and Turkey; thus, supporting the view that exchange rate uncertainty is an important driver of equity home bias.FindingsAs for the comparison of the pre- and post-crisis period, the findings support the evidence that the post-crisis period witnessed a greater number of cases of significant shock and volatility spillovers among exchange rate uncertainty and portfolio flows.Originality/valueOverall, the empirical results provide fresh insights and policy implications for domestic and international investors through investment activities, and for policymakers through maintaining economic and financial stability.

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Wu, Changsong, Dequn Zhou, and Donglan Zha. "The interplay of the carbon market, the tradable green certificate market, and electricity market in South Korea: Dynamic transmission and spillover effects." Energy & Environment, September 19, 2022, 0958305X2211229. http://dx.doi.org/10.1177/0958305x221122932.

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The carbon emission trading scheme (ETS) and tradable green certificate (TGC) system have been widely used to encourage renewable technology and mitigate greenhouse gas emissions. Previous studies have discussed the interaction between these market-based instruments and the electricity market from a theoretical perspective. This research contributes to the literature by empirically examining the interplay of carbon market, the TGC market, and electricity market using a vector autoregressive (VAR) model to investigate the price transmission between different markets. A VAR-BEKK-GARCH model, based on discrete wavelet decomposition, was used to reveal the spillover effect between the three markets over multiple time scales. Based on evidence from the partially deregulated electricity market in South Korea, we do not find a significant short-term interaction between carbon market and the TGC market through the price transmission. However, the analysis over multiple time scales demonstrates that the return spillover between the carbon market and the TGC market is positive and bidirectional in the medium-term and long-term. In addition, the policy integration may create higher price risks to the carbon market and the TGC market, resulting from long-term risk spillovers. We explain these contrasting findings and discuss implications for the future deployment of these policies.

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URAK, Faruk, Gürkan BOZMA, and Abdulbaki Bilgiç. "Türkiye’de Buğday, Arpa, Benzin Reel Fiyatlarının ve Döviz Kurunun Koşullu Varyanslarındaki Oynaklığın VAR(1) – Asimetrik BEKK – GARCH (1, 1) Modeli ile Tahmin Edilmesi." Kahramanmaraş Sütçü İmam Üniversitesi Doğa Bilimleri Dergisi, August 31, 2018. http://dx.doi.org/10.18016/ksudobil.361995.

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URAK, Faruk, Abdulbaki BİLGİÇ, Vedat DAĞDEMİR, and Hüseyin ÖZER. "Türkiye’de Dana Karkas, Kuzu Karkas ve Yemlik Buğday Reel Fiyatlarının Koşullu Varyanslarındaki Oynaklığın VAR (1)-Asimetrik BEKK-GARCH (1, 1) Modeli ile Tahmin Edilmesi." Kahramanmaraş Sütçü İmam Üniversitesi Tarım ve Doğa Dergisi, November 18, 2021. http://dx.doi.org/10.18016/ksutarimdoga.vi.955565.

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ÖZDEMİR, Ferda Nur, Faruk URAK, Abdulbaki BİLGİÇ, and Fahri YAVUZ. "Türkiye’de Koyun Eti, Besi Yemi, Benzin Reel Fiyatlarının ve Döviz Kurunun Koşullu Varyanslarındaki Oynaklığın VAR – Asimetrik BEKK – GARCH (1, 1) Modeli İle Tahmin Edilmesi." Kahramanmaraş Sütçü İmam Üniversitesi Tarım ve Doğa Dergisi, August 31, 2020. http://dx.doi.org/10.18016/ksutarimdoga.vi.631256.

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Zeng, Hongjun, Abdullahi D. Ahmed, Ran Lu, and Ningjing Dai. "Dependence and spillover among oil market, China's stock market and exchange rate: new evidence from the Vine-Copula-CoVaR and VAR-BEKK-GARCH frameworks." Heliyon, November 2022, e11737. http://dx.doi.org/10.1016/j.heliyon.2022.e11737.

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Aydoğan, Berna, Gülin Vardar, and Caner Taçoğlu. "Volatility spillovers among G7, E7 stock markets and cryptocurrencies." Journal of Economic and Administrative Sciences, January 11, 2022. http://dx.doi.org/10.1108/jeas-09-2021-0190.

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Purpose The existence of long memory and persistent volatility characteristics of cryptocurrencies justifies the investigation of return and volatility/shock spillovers between traditional financial market asset classes and cryptocurrencies. The purpose of this paper is to investigate the dynamic relationship between the cryptocurrencies, namely Bitcoin and Ethereum, and stock market indices of G7 and E7 countries to analyze the return and volatility spillover patterns among these markets by means of multivariate (MGARCH) approach. Design/methodology/approach Applying the newly developed VAR-GARCH-in mean framework with the BEKK representation, the empirical results reveal that there exists an evidence of mean and volatility spillover effects among Bitcoin and Ethereum as the proxies for the cryptocurrencies, and stock markets reviewed. Findings Interestingly, the direction of the return and volatility spillover effects is unidirectional in most E7 countries, but bidirectional relationship was found in most G7 countries. This can be explained as the presence of a strong return and volatility interaction among G7 stock markets and crypto market. Originality/value Overall, the results of this study are of particular interest for portfolio management since it provides insights for financial market participants to make better portfolio allocation decisions. It is also increasingly important to understand the volatility transmission mechanism across these markets to provide policymakers and regulatory bodies with guidance to eliminate the negative impact of cryptocurrency's volatility on the stability of financial markets.

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Yousaf, Imran, Hasan Hanif, Shoaib Ali, and Syed Moudud-Ul-Huq. "Linkages between gold and Latin American equity markets: portfolio implications." Journal of Economics, Finance and Administrative Science ahead-of-print, ahead-of-print (August 20, 2021). http://dx.doi.org/10.1108/jefas-04-2020-0139.

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PurposeThe authors aim to examine the mean and volatility linkages between the gold market and the Latin American equity markets in the entire sample period and two crises periods, namely the US financial crisis and the Chinese crash.Design/methodology/approachTo examine the return and volatility spillovers, the authors employ VAR-BEKK-GARCH model on the daily data of four emerging Latin American equity markets which include Peru, Chile, Brazil and Mexico, which ranges from January 2000 to June 2018.FindingsThe results show that the return transmissions vary across the stock markets and the crises periods. The volatility transmission is found to be bidirectional between the gold and stock markets of Brazil and Chile during the US financial crisis. Furthermore, the volatility spillover is unidirectional from Brazil to gold and from gold to Peru stock market during the Chinese crash. We also calculate the optimal weights hedge ratios for gold and stock portfolio. The result suggests that portfolio managers need to increase the weight of gold for the equity portfolios of Peru and Mexico during the US financial crisis. Furthermore, during the Chinese crisis, investors may raise the investment in gold for the equity portfolios of Brazil and Chile. Finally, the cheapest hedging strategy is CHIL/GOLD during the US financial crisis, whereas MEXI/GOLD during the Chinese crash.Practical implicationsThese findings have useful insights for portfolio diversification, asset pricing and risk management.Originality/valueThe study's outcome provides policymakers and investors with in-depth insights regarding hedging, risk management and portfolio management.

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Journal articles on the topic 'VAR-BEKK-GARCH'

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