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Interdependence And Forecasting Of S&P500, Oil, Euro / Dollar And 10-Year U.S. Interest Rate Markets: An Attempt Of Modelling Through The Volatility


Author Info

  • Ahmed KSAIER

    (University of Nice Sophia-Antipolis, France)


    (University of Nice Sophia-Antipolis, France)

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    We observe from the late 1990s an increasing phenomenon of volatility on these following markets: Oil (WTI price), Foreign Exchange (nominal Euro/Dollar), Stock Market (S&P 500 Index) and Bond market (U.S.10-Year). After seizing the concept of volatility and overcoming its first definition of risk measure, we have evaluated their interdependencies from a VAR model, we have investigated the presence of long memory phenomenon in these series and we have carried out their forecasted trajectories from FIGARCH model. This paper is presented as follows: Section 1 opens on a definition of the volatility, Section 2 examines the interdependence of the studied markets; Section 3 provides a FIGARCH model in order to capture the dynamics and predict future market volatilities changes and Section 4 concludes."

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    Bibliographic Info

    Article provided by Alexandru Ioan Cuza University, Faculty of Economics and Business Administration in its journal Review of Economic and Business Studies.

    Volume (Year): (2010)
    Issue (Month): 6 (December)
    Pages: 145-166

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    Handle: RePEc:aic:revebs:y:2010:i:6:ksaiera

    Contact details of provider:
    Postal: Universitatea Al. I. Cuza; B-dul Carol I nr. 22; Iasi
    Phone: 004 0232 201070
    Fax: 004 0232 217000
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    Related research

    Keywords: Volatility; Long Memory; FIGARCH; Forecasting;

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