We study two issues: (i) the relationship between interest rates on US and Colombian sovereign debt and (ii) the short-term response of the Colombian longterm bond yield and other asset prices to shocks to the US long-term Treasury rate. We use daily data between 2004 and 2013. Separating the period into three intervals (before, during and after the financial crisis), we consider the first issu...

This study examines intraday relationships among the spot index, index futures, and the implied volatility index based on the VAR(1)-asymmetric BEKK-MGARCH model. Analysis of a high-frequency dataset from theKorean financialmarket confirms that there is a strong intraday market linkage between the spot index, KOSPI200 futures, and VKOSPI and that asymmetric volatility behaviour is clearly prese...

Global crises have created unprecedented challenges for communities and economies across the world, triggering turmoil in global finance economy. This study adopts dynamic conditional correlation multiple generalized autoregressive heteroskedasticity (DCC–MGARCH) model to explore contagion effects financial markets crisis. The main findings are as follows: (1) crisis COVID-19 pandemic intensifi...

in this paper we compared multivariate garch models toestimate value-at-risk. we used a portfolio of weekly indexesincluding tedpix, klse, xu100 during ten years. to estimatevalue-at-risk, first we estimated ccc, dcc of engle, dcc of tseand tsui, dynamic equi correlation models by oxmetrics. then,optimum lags were estimated by minimizing the information criteria.to estimate var, the models accu...

Penelitian ini bertujuan untuk menguji adanya contagion effect dari krisis Argentina dan Turki ke negara-negara Asia dengan menggunakan model DCC-MGARCH. Data yang digunakan adalah data harian harga penutupan indeks saham diperoleh Thomson Reuters DataStream mencakup periode 2 Januari 2014 hingga 17 Mei 2019. Hasil penelitian menunjukkan bahwa terjadi di Malaysia, Korea, Thailand, Filipina, sed...

The asymmetric price volatility transmission issue in agricultural supply chains has been ignored the previous literature. This paper applies an asymmetrical MGARCH-BEKK model to investigate with application Chinese pork market. Additionally, we use Zivot–Andrews unit root test a structural break examine whether piglet, hog, and prices have breaks. results show that pork’s market breakpoint 200...

We analyze a fixed-point algorithm for reinforcement learning (RL) of optimal portfolio mean-variance preferences in the setting multivariate generalized autoregressive conditional-heteroskedasticity (MGARCH) with small penalty on trading. A numerical solution is obtained using neural network (NN) architecture within recursive RL loop. theorem proves that NN approximation error has big-oh bound...

This paper investigates (i) the volatility of Indonesian Islamic, SRI, and Conventional equities, (ii) their serial correlation, (iii) dynamic correlation relationship during COVID-19 pandemic. Using MGARCH-DCC, our findings suggest that Islamic index is most volatile but performs more efficiently than others exhibits no co-movement with SRI Pandemic crisis. The study empirically shows resilien...