Multivariate GARCH modelling and causality analysis of sector indices

Home Page
About
Submit A Journal
Submit A Conference
Submit Paper/Book
- Submit a Preprint
- Submit a Book
Contact

İzmir International Congress on Economics and Administrative Sciences (IZCEAS)
IZCEAS 2018 FULL PAPER BOOK
Multivariate GARCH modelling and causality analysis of sector indices

Multivariate GARCH modelling and causality analysis of sector indices

Authors : Ayşegül Kırkpınar

Pages : 1317-1330

View : 68 | Download : 44

Publication Date : 2018-12-31

Abstract :The aim of this paper is to analyze volatility spillover between two sector indices of Borsa Istanbul by using Multivariate GARCH model, namely DCC-GARCH model, and to determine causal relationship and the direction of the causality among each other by using Hong’s causality test. The data to be used covered daily close prices of BIST Financial and BIST Services sector indices in Borsa Istanbul from January 4, 2010 to July 24, 2018. The findings indicated that there was volatility spillover BIST Financial and BIST Services sector indices. As for causality analyses, the volatility spillover between two sector indices indicated bivariate causal relation in accordance with both the results of the Granger causality and Hong’s causality tests. The findings are important for market participants and investors to make properly optimal portfolio management and asset allocation.
Keywords : DCC-GARCH model, Hong’s Causality, Volatility Spillover, Sector Indices

ORIGINAL PAPER URL

* There may have been changes in the journal, article,conference, book, preprint etc. informations. Therefore, it would be appropriate to follow the information on the official page of the source. The information here is shared for informational purposes. IAD is not responsible for incorrect or missing information.