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...

We employ a multivariate BEKK GARCH model which allows news to affect conditional volatility in an asymmetric manner. The asymmetric model outperforms the standard symmetric model, implying that efficient financial decision makers should not treat good and bad news as homogenous. We estimate the conditional variance and covariance of the Japanese yen, Swiss franc and British pound vis-à-vis the...

Purpose The study uses the multivariate GARCH-BEKK model (which was first proposed by Baba et al . (1990) and then further developed Engle Kroner (1995)) to examine return volatility spillover between India four leading Asian (namely, China, Japan, Singapore Hong Kong) two global United Kingdom States) equity markets. Design/methodology/approach employs a quantify correlation transmission acros...