“…The last two strategies are generally and most commonly used. For example, Alter and Shüler (2012), Gomez-Puig andSosvilla-Rivero (2014), Fernández-Rodríguez, Gómez-Puig, andSosvilla-Rivero (2016) and many others prefer using VAR model, whereas Fender, Hayo, and Neuenkirch (2012), Grammatikos and Vermeulen (2012), Groba et al (2013), Pragidis, Aielli, Chionis, andSchizas (2015) among others applied the GARCH models to study, eventually, large price volatilities after a shock.…”