DCC-GARCH Model

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  • Volatility Spillovers among Global Stock Markets: Measuring Total and Directional Effects

    Publicación |

    In this study we construct volatility spillover indexes for some of the major stock market indexes in the world. We use a DCC-GARCH framework for modelling the multivariate relationships of volatility among markets. Extending the framework of Diebold and Yilmaz [2012] we compute spillover…

  • Stock Market Volatility Spillovers: Evidence for Latin America

    Publicación |

    We extend the framework of Diebold and Yilmaz [2009] and Diebold and Yilmaz [2012] and construct volatility spillover indexes using a DCC-GARCH framework to model the multivariate relationships of volatility among assets. We compute spillover indexes directly from the series of asset…