This paper was aimed at investigating the volatility and conditional relationship among inflation rates, exchange rates and interest rates as well as to construct a model using multivariate GARCH DCC and BEKK models using Ghana data from January 1990 to December 2013. The study revealed that the cumulative depreciation of the cedi to the US dollar from 1990 to 2013 is 7,010.2% and the yearly we...

This paper modifies the BEKK-GARCH model based on empirical results of VAR to analyze dynamic volatility spillover effect between European Union allowance (EUA) and certified emissions reduction (CER) markets during second third phases Emission Trading System (EU ETS). The show that (1) an asymmetric exists EUA CER market has a more significant market, (2) becomes weaker in phase III since Comm...

This paper investigates the forecasting ability of five different versions of GARCH models. The five GARCH models applied are bivariate GARCH, GARCH-ECM, BEKK GARCH, GARCH-X and GARCH-GJR. Forecast errors based on four emerging stock futures portfolio return (based on forecasted hedge ratio) forecasts are employed to evaluate out-ofsample forecasting ability of the five GARCH models. Daily data...

This paper investigates co-movements among the Chinese stock market, Shanghai International Energy Exchange (INE) crude oil futures and West Texas Intermediate (WTI) futures. We use Copula models to capture tail dependencies employ VAR-BEKK-GARCH model examine direction of volatility spillovers. find that there are positively time-varying dependency relationships three markets. Compared with co...

This study investigates return and asymmetric volatility spillovers dynamic correlations between the main small medium-sized enterprise (SME) stock markets in Saudi Arabia Egypt for periods before during COVID-19 pandemic. Return are modelled using a VAR-asymmetric BEKK–GARCH (1,1) model, while DCC–GARCH model is employed to conditional these markets, which then used determine explore portfolio...

This paper introduces the scalar DCC-HEAVY and DECO-HEAVY models for conditional variances correlations of daily returns based on measures realized built from intraday data. Formulas multi-step forecasts are provided. Asymmetric versions developed. An empirical study shows that in terms HEAVY outperform BEKK-HEAVY model covariances BEKK, DCC, DECO multivariate GARCH exclusively

Tests of causality in variance in multiple time series have been proposed recently, based on residuals of estimated univariate models. Although such tests are applied frequently little is known about their power properties. In this paper we show that a convenient alternative to residual based testing is to specify a multivariate volatility model, such as multivariate GARCH (or BEKK), and constr...