Multivariate EGARCHX-modelling of the international asset return signal response mechanism
✍ Scribed by Ralf Östermark; Rune Höglund
- Publisher
- John Wiley and Sons
- Year
- 1997
- Tongue
- English
- Weight
- 367 KB
- Volume
- 2
- Category
- Article
- ISSN
- 1076-9307
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✦ Synopsis
The integration of national ®nancial economies, enhanced by loosening capital control, has motivated the study of co-movements between markets. In this paper we use a variant of the multivariate EGARCH method, due to Koutmos and Booth, to study the impact of the Japanese stock prices on the Finnish derivatives market, both in the ®rst and second moments. We extend the algorithm to MEGARCHX, by including exogenous variables in the estimation problem. MEGARCHX-modelling of the Finnish stock returns and Futures returns effectively captures the linear dependence and heteroscedasticity present in the series.