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...

We propose a method for defining and measuring the spatial contagion between two financial markets. Next we investigate which from the large family of multivariate GARCH models is the best tool for modeling spatial contagion.

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...

Com a utilização de dados diários do retorno das ações, da cotação Dólar e índice Ibovespa, durante o período 2010 até 2020, este estudo apresenta os resultados dos transbordamentos volatilidades no mercado ações Brasil, com correlações condicionais. A construção retornos representativos pela Análise Componentes Principais, tradicional robusto se mostraram mais adequadas em relação à Principais...

In many studies the assumption is made that traders only encounter one type of price risk. In reality, however, traders are exposed to multiple price risks, and often have several relevant derivative instruments available with which to hedge price uncertainty. In this study, commodity, foreign exchange, and freight futures contracts are analyzed for their effectiveness in reducing price uncerta...

This paper derives the statistical properties of a two-step approach to estimating multivariate rotated GARCH-BEKK (RBEKK) models. From definition RBEKK, unconditional covariance matrix is estimated in first step rotate observed variables order have identity for its sample matrix. In second step, remaining parameters are by maximizing quasi-log-likelihood function. For this quasi-maximum likeli...