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Volatility estimators in econometric analysis of risk transfer on capital markets

Author

Listed:
  • Marcin Faldzinski

    (Nicolaus Copernicus University)

  • Magdalena Osinska

    (Nicolaus Copernicus University)

Abstract

The purpose of the research is to compare the performance of different volatility measures while used in testing for causality in risk between several emerging and mature capital markets. The following volatility estimators are considered: Parkinson, Garman-Klass, Rogers-Satchell, Garman-Klass-Yang-Zhang and Yang-Zhang and the AR-GARCH(1,1)-t model. Additionally, the extreme value theory is also applied. Several emerging capital markets are checked for being the source of the risk for both emerging and developed markets. The group of emerging markets includes the most intensively growing economies in the world. The final results are such as the number of relationships between the markets is considerably lower when the methods taken from the extreme value theory are used.

Suggested Citation

  • Marcin Faldzinski & Magdalena Osinska, 2016. "Volatility estimators in econometric analysis of risk transfer on capital markets," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 16, pages 21-35.
    • Handle: RePEc:cpn:umkdem:v:16:y:2016:p:21-35
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    File URL: https://apcz.umk.pl/DEM/article/view/DEM.2016.002/10665
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    causality in risk; extreme value theory; growing emerging economies; risk transfer; volatility;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting

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