FINANCIAL MARKET INTERCONNECTIONS ANALYZED USING GARCH UNIVARIATE AND MULTIVARIATE MODELS

Authors

Lucian Claudiu Anghel, Școala Naţională de Studii Politice și Administrative
Maria Cristina Zwak-Cantoriu, Bucharest University of Economic Studies
Suhan Mendon, Manipal Institute of Management
Attila Gyorgy, Bucharest University of Economic Studies

Document Type

Article

Publication Title

Economic Computation and Economic Cybernetics Studies and Research

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.

First Page

101

Last Page

118

DOI

10.24818/18423264/56.3.22.07

Publication Date

1-1-2022

Recommended Citation

Anghel, Lucian Claudiu; Zwak-Cantoriu, Maria Cristina; Mendon, Suhan; and Gyorgy, Attila, "FINANCIAL MARKET INTERCONNECTIONS ANALYZED USING GARCH UNIVARIATE AND MULTIVARIATE MODELS" (2022). Open Access archive. 4843.
https://impressions.manipal.edu/open-access-archive/4843