Structural effects and spillovers in HSIF, HSI and S&P500 volatility

Asymmetric variance and spillover effects

“…On the other hand, Morana and Beltratti (2002) adopt a Bivariate GARCH framework to examine the effects of the introduction of the euro on the volatility of European stock markets while Ganon and Yeung (2004) use it to study the existence of structural breaks in the Hong Kong cash index and index futures volatility, as well as volatility spillovers from the S&P 500 cash and futures. Malik and Hammoudeh (in press) also employ it to analyze the volatility and shock transmission mechanism among equity and global crude oil markets of US and Gulf countries.…”

Volatility Transmission between US and Latin American Stock Markets: Testing the Decoupling Hypothesis

“…On the other hand, to our knowledge, this is the first study that tests volatility transmissions between US and Latin American stock markets using the MGARCH-BEKK model, unlike previous studies (Christofi and Pericli, 1999;Edwards and Susmel, 2001;Weber, 2012;Rejeb and Arfaoui, 2015). The MGARCH-BEKK model is currently deemed as the standard methodology for detecting volatility spillovers amongst financial markets (Gannon and Au-Yeung 2004;Caporale, Pittis and Spagnolo, 2006;Koulakiotis, Dasilas and Papasyriopoulos, 2009;Hammoudeh, Yuan, McAleer and Thompson, 2010;Fayyad and Daly, 2011;Arouri, Jouini and Nguyen, 2011;Andreou, Matsi, and Savvides, 2013).…”

“…Some other studies have used restricted bivariate GARCH models that impose assumptions on the dynamic behavior of the conditional correlation (Giovannini et al 2006;Lean and Teng, 2013;Dimitriou, Kenourgios and Simos, 2013). Recently, Multivariate GARCH-BEKK model proposed by Engle and Kroner (1995), have been gained acceptation to model volatility spillovers, since it allows for more general interactions between the conditional volatility and disturbances across series (Gannon and Au-Yeung, 2004;Li and Majerowska, 2008;Koulakiotis et al, 2009;Fayyad and Daly, 2011;Andreou, Matsi, and Savvides 2013).…”

Interrelationship and Spillover Effect between Stock and Exchange Rate Markets in the Major Emerging Economies

“…In order to further upgrade and ameliorate the BEKK-GARCH specification, we refer to Gannon and Au-Yeung (2004), Kang et al (2011), Miralles-Marcelo et al (2013 who augmented basic BEKK-GARCH model by adding a set of dichotomous variables into the conditional variance-covariance matrix, in order to capture regime changes in variances. The break points are endogenously identified by the modified ICSS algorithm of Sansó et al (2004).…”