FINANCIAL MARKET INTERCONNECTIONS ANALYZED USING GARCH UNIVARIATE AND MULTIVARIATE MODELS

Lucian Claudiu Anghel; Maria Cristina Zwak-Cantoriu; Suhan Mendon; Attila Gyorgy; Simona Ermiș; Jatin Trivedi

doi:10.24818/18423264/56.3.22.07

FINANCIAL MARKET INTERCONNECTIONS ANALYZED USING GARCH UNIVARIATE AND MULTIVARIATE MODELS

Lucian Claudiu Anghel
, Maria Cristina Zwak-Cantoriu
, Suhan Mendon
, Attila Gyorgy
, Simona Ermiș
, Jatin Trivedi

Manipal School of Commerce and Economics (MSCE)

Research output: Contribution to journal › Article › peer-review

Abstract

Given that the financial markets are facing the effects of the coronavirus pandemic, we chose to perform an analysis on them, in order to see the transmission of volatility, the effects of the contagion and the interconnection between the financial markets. Using stock indices from different countries and applying theoretical and empirical methods such as univariate and multivariate models (ARCH–GARCH, BEKK), we aim to capture volatility and bidirectional contagion, as well as testing and occurring the phenomenon of clustering volatility and its transmission effect.

Original language	English
Pages (from-to)	101-118
Number of pages	18
Journal	Economic Computation and Economic Cybernetics Studies and Research
Volume	56
Issue number	3
DOIs	https://doi.org/10.24818/18423264/56.3.22.07
Publication status	Published - 2022

All Science Journal Classification (ASJC) codes

Economics and Econometrics
Computer Science Applications
Applied Mathematics

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AU - Anghel, Lucian Claudiu

AU - Zwak-Cantoriu, Maria Cristina

AU - Mendon, Suhan

AU - Gyorgy, Attila

AU - Ermiș, Simona

AU - Trivedi, Jatin

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FINANCIAL MARKET INTERCONNECTIONS ANALYZED USING GARCH UNIVARIATE AND MULTIVARIATE MODELS

Abstract

All Science Journal Classification (ASJC) codes

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