Separating BRIC using Islamic stocks and crude oil: dynamic conditional correlation and volatility spillover analysis
نویسندگان
چکیده
منابع مشابه
Forecasting Crude Oil Price Volatility
We use high-frequency intra-day realized volatility to evaluate the relative forecasting performance of several models for the volatility of crude oil daily spot returns. Our objective is to evaluate the predictive ability of time-invariant and Markov switching GARCH models over different horizons. Using Carasco, Hu and Ploberger (2014) test for regime switching in the mean and variance of the ...
متن کاملModeling Volatility Spillovers in Iran Capital Market
This paper investigates the conditional correlations and volatility spillovers between the dollar exchange rate return, gold coin return and crude oil return to stock index return. Monthly returns in the 144 observations (2005 - 2017) are analyzed by constant conditional correlation, dynamic conditional correlation, VARMA-GARCH and VARMA-AGARCH models. So this paper presents interdependences in...
متن کاملForecasting the volatility of crude oil futures using intraday data
We use the information in intraday data to forecast the volatility of crude oil at a horizon of 1 to 66 days using a variety of models relying on the decomposition of realized variance in its positive or negative (semivariances) part and its continuous or discontinuous part (jumps). We show the importance of these decompositions in predictive regressions using a number of specifications. Nevert...
متن کاملForecasting Crude Oil prices Volatility and Value at Risk: Single and Switching Regime GARCH Models
Forecasting crude oil price volatility is an important issues in risk management. The historical course of oil price volatility indicates the existence of a cluster pattern. Therefore, GARCH models are used to model and more accurately predict oil price fluctuations. The purpose of this study is to identify the best GARCH model with the best performance in different time horizons. To achieve th...
متن کاملDynamic Correlation between Oil Markets and Financial Markets and Oil and Petrochemical Industries in Iran
In this paper we study the effect of volatility in Brent oil prices on the important indices of financial markets in Iran, as well as the return on gold, from 2008 to 2018 using the Multivariate Exponential GARCH Model (MVEGARCH). We also use the ADCC-FIGARCH model to examine the asymmetric dynamic conditional correlation between Brent oil prices and financial markets in Iran. The results of th...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Energy Economics
سال: 2019
ISSN: 0140-9883
DOI: 10.1016/j.eneco.2019.02.016