WSEAS Transactions on Systems and Control
Print ISSN: 1991-8763, E-ISSN: 2224-2856
Volume 16, 2021
Modeling Mediterranean Stock Markets Volatility with Univariate and Multivariate Approaches
Authors: , ,
Abstract: In our study we use the univariate and multivariate GARCH models to analyze the volatility behavior of the daily data of four Mediterranean stock markets (Morocco, Turkey, Spain, and France) spanning the period 2000-2020. We find a strong evidence of persisting of volatility in each of these markets. Results also indicate that both the univariate and the multivariate approaches capture well the ARCH and GARCH effects. We analyze the conditional covariances, and co-volatility spillovers between the Moroccan stock market and the three other Mediterranean stock markets. In order to study co-volatility spillovers, our work is built on the diagonal BEKK model especially the conditional covariances.
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Keywords: GARCH, EGARCH, Multivariate GARCH, Diagonal BEKK, Volatility persistence, Volatility Spillovers
Pages: 457-468
DOI: 10.37394/23203.2021.16.41