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Volatility Spillover among Industries in the Capital Market in Iran

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  • Botshekan, Mohamad Hashem

    (Allameh Tabataba’i University)

  • Mohseni, Hosein

    (Allameh Tabataba’i University)

Abstract

Measuring the dynamic relationship between banking and industries with systemic importance has attracted much attention after the recent financial crisis. This paper examines the dynamic conditional correlations and volatility spillover using three popular multivariate GARCH models in the twelve-year period (from the beginning of 2005 to the beginning of 2016)

Suggested Citation

  • Botshekan, Mohamad Hashem & Mohseni, Hosein, 2017. "Volatility Spillover among Industries in the Capital Market in Iran," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 12(2), pages 213-233, April.
    • Handle: RePEc:mbr:jmonec:v:12:y:2017:i:2:p:213-233
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    References listed on IDEAS

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