Volatility Spillover Effect from Volatility Implied Index to Emerging Markets
AbstractThis study has investigated the effect of VIX, created as an implied volatility in the US, on 15 emerging stock markets with the application of GJR-GARCH model. According to the results obtained, the emerging stock markets have leverage effect in conditional variance and emerging bad news concludes that volatility further increases. The results of the analysis show that implied volatility index affect Argentina, Brazil, Mexico, Chili, Peru, Hungary, Poland, Turkey, Malaysia, Thailand and Indonesia stock markets through volatility increases
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Bibliographic InfoArticle provided by Banking Regulation and Supervision Agency in its journal Journal of Banking and Financial Markets.
Volume (Year): 3 (2009)
Issue (Month): 2 ()
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Implied Volatility; Spillover Effect; GJR-GARCH Model; Emerging Markets;
Find related papers by JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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