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The Multivariate DCC-GARCH Model with Interdependence among Markets in Conditional Variances’ Equations

Author

Listed:
  • Marcin Faldzinski

    (Nicolaus Copernicus University, Poland)

  • Michal Bernard Pietrzak

    (Nicolaus Copernicus University, Poland)

Abstract

The article seeks to investigate the issue of interdependence that during crisis periods in the capital markets is of particular importance due to the likelihood of causing a crisis in the real economy. The research objective of the article is to identify this interdependence in volatility. Therefore, first we propose our own modification of the DCC-GARCH model which is so designed as to test for interdependence in conditional variance. Then, the DCC-GARCH-In model was used to study interdependence in volatility of selected stock market indices. The results of the research confirmed the presence of interdependence among the selected markets.

Suggested Citation

  • Marcin Faldzinski & Michal Bernard Pietrzak, "undated". "The Multivariate DCC-GARCH Model with Interdependence among Markets in Conditional Variances’ Equations," Working Papers 164/2015, Institute of Economic Research, revised Nov 2015.
    • Handle: RePEc:pes:wpaper:2015:no164
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    Cited by:

    1. Ruiwen Yang & Pathairat Pastpipatkul & Chaiwat Nimanussornkul, 2020. "Dynamic Volatility Spillover Among Chinese Black Series Futures Under Structural Breaks," International Journal of Business and Administrative Studies, Professor Dr. Bahaudin G. Mujtaba, vol. 6(5), pages 236-246.

    More about this item

    Keywords

    DCC-GARCH model; interdependence; conditional variance;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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