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Dissertations / Theses on the topic 'DCC GARCH model'
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1
Noureldin, Diaa. "Essays on multivariate volatility and dependence models for financial time series." Thesis, University of Oxford, 2011. http://ora.ox.ac.uk/objects/uuid:fdf82d35-a5e7-4295-b7bf-c7009cad7b56.
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This thesis investigates the modelling and forecasting of multivariate volatility and dependence in financial time series. The first paper proposes a new model for forecasting changes in the term structure (TS) of interest rates. Using the level, slope and curvature factors of the dynamic Nelson-Siegel model, we build a time-varying copula model for the factor dynamics allowing for departure from the normality assumption typically adopted in TS models. To induce relative immunity to structural breaks, we model and forecast the factor changes and not the factor levels. Using US Treasury yields for the period 1986:3-2010:12, our in-sample analysis indicates model stability and we show statistically significant gains due to allowing for a time-varying dependence structure which permits joint extreme factor movements. Our out-of-sample analysis indicates the model's superior ability to forecast the conditional mean in terms of root mean square error reductions and directional forecast accuracy. The forecast gains are stronger during the recent financial crisis. We also conduct out-of-sample model evaluation based on conditional density forecasts. The second paper introduces a new class of multivariate volatility models that utilizes high-frequency data. We discuss the models' dynamics and highlight their differences from multivariate GARCH models. We also discuss their covariance targeting specification and provide closed-form formulas for multi-step forecasts. Estimation and inference strategies are outlined. Empirical results suggest that the HEAVY model outperforms the multivariate GARCH model out-of-sample, with the gains being particularly significant at short forecast horizons. Forecast gains are obtained for both forecast variances and correlations. The third paper introduces a new class of multivariate volatility models which is easy to estimate using covariance targeting. The key idea is to rotate the returns and then fit them using a BEKK model for the conditional covariance with the identity matrix as the covariance target. The extension to DCC type models is given, enriching this class. We focus primarily on diagonal BEKK and DCC models, and a related parameterisation which imposes common persistence on all elements of the conditional covariance matrix. Inference for these models is computationally attractive, and the asymptotics is standard. The techniques are illustrated using recent data on the S&P 500 ETF and some DJIA stocks, including comparisons to the related orthogonal GARCH models.
2
Tabiš, Peter. "Dynamické modely oceňovania aktiv." Master's thesis, Vysoká škola ekonomická v Praze, 2013. http://www.nusl.cz/ntk/nusl-199290.
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Field of examination is theoretical and empirical review of dynamic CAPM models that assume non constant volatility and correlation. In other words time evolution is considered in estimation process. As theoretical basement is recommended to be R. Engle's (Dynamic Conditional Beta) research and other sources.
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Jurdi, Doureige. "Essays on volatility and liquidity in financial markets." Thesis, Queensland University of Technology, 2012. https://eprints.qut.edu.au/61103/1/Doureige_Jurdi_Thesis.pdf.
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The price formation of financial assets is a complex process. It extends beyond the standard economic paradigm of supply and demand to the understanding of the dynamic behavior of price variability, the price impact of information, and the implications of trading behavior of market participants on prices. In this thesis, I study aggregate market and individual assets volatility, liquidity dimensions, and causes of mispricing for US equities over a recent sample period. How volatility forecasts are modeled, what determines intradaily jumps and causes changes in intradaily volatility and what drives the premium of traded equity indexes? Are they induced, for example, by the information content of lagged volatility and return parameters or by macroeconomic news, changes in liquidity and volatility? Besides satisfying our intellectual curiosity, answers to these questions are of direct importance to investors developing trading strategies, policy makers evaluating macroeconomic policies and to arbitrageurs exploiting mispricing in exchange-traded funds. Results show that the leverage effect and lagged absolute returns improve forecasts of continuous components of daily realized volatility as well as jumps. Implied volatility does not subsume the information content of lagged returns in forecasting realized volatility and its components. The reported results are linked to the heterogeneous market hypothesis and demonstrate the validity of extending the hypothesis to returns. Depth shocks, signed order flow, the number of trades, and resiliency are the most important determinants of intradaily volatility. In contrast, spread shock and resiliency are predictive of signed intradaily jumps. There are fewer macroeconomic news announcement surprises that cause extreme price movements or jumps than those that elevate intradaily volatility. Finally, the premium of exchange-traded funds is significantly associated with momentum in net asset value and a number of liquidity parameters including the spread, traded volume, and illiquidity. The mispricing of industry exchange traded funds suggest that limits to arbitrage are driven by potential illiquidity.
4
Lönnquist, Anders. "The economic relevance of multivariate GARCH models : CCC, DCC, VCC MGARCH(1,1) covariance predictions for the use in global minimum variance portfolios." Thesis, Örebro universitet, Handelshögskolan vid Örebro Universitet, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-67989.
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Huang, Wei-Chih, and 黃薇之. "Reevaluate the DCC-GARCH and DCC-CARR model hedging performance." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/08907709827319368644.
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碩士<br>淡江大學<br>財務金融學系碩士在職專班<br>98<br>This article takes stock index and index future in United States, Germany and Japan as the research object . The sample period of S&P 500、DAX and Nikkei 225 index covers from 1/1/1991 to 31/12/2009, and the sample period of Dow Jones index covers from 1/1/1998 to 12/31/2009. The purpose of this study is to compare the out of sample performances among OLS、CCC-GARCH、DCC-GARCH、DCC-CARR models by using Variance、Utility function、Semi-variance、LPM and CVaR measurements. The empirical result shows: 1. OLS hedging model has the best out of sample performance. 2. In the dynamic model, if it only compares DCC-GARCH and DCC-CARR as the volatility forecasting estimator, DCC-CARR model has more accurate result. 3. If it takes transaction costs into the consideration, Utility function shows OLS and DCC-CARR models both have better hedging performances. Consideration the transaction cost, DCC-CARR model is also better than DCC-GARCH model.
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Wu, Chih-Pei, and 伍智培. "Evaluate the DCC-GARCH and Realized-GARCH model hedging performance." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/86112822973360507755.
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碩士<br>淡江大學<br>財務金融學系碩士班<br>101<br>In this paper , we used the data from Chicago Mercantile Exchange which trades S&P 500 futures prices and spot prices as the main object of study . The researching period was from 1 January 2002 to 31 December 2008 ended, in which the in-the-sample period was set in 1 January 2002 to 31 December 2006 , and the out-of-sample heding period was set in 1 January 2007 to 31 December 2008 , using the rolling windows method to estimate it .The paper used the various methods to evaluate the out-of-sample hedging performance under the hedging models : Realized variance、Bi-power realized variance and Tri-power realized variance , these methods were the Variance、Semi-variance、Utility function、VaR、CVaR and Economic value.
The empirical results showed that : 1.Under the out-of-sample hedging performance period , the DCC-Realized-GARCH-RV30 hedging model worked best both in statistical analysis and economic analysis. 2.And then the paper considered the transaction cost , in order to be close to the reality , we used the Utility function to evaluate the hedging performance and Economic value . In the end , only the DCC-Realized-GARCH-RBV30 hedging model was superior to DCC-GARCH hedging model , and had the positive Economic value under the long hedge , hence , the conclusion was inconsistent with the circumstance which did not consider the transaction cost . Transaction cost were therefore considered not feasible in practice , because in practice it could not adjust hedge ratio daily.
7
LaBarr, Aric David. "Multivariate robust estimation of DCC-GARCH volatility model." 2010. http://www.lib.ncsu.edu/resolver/1840.16/6015.
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Chen, Hsiang-ning, and 陳湘寧. "The Application of DCC-GARCH model in Portfolio Selection." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/27500883893096776587.
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碩士<br>國立高雄第一科技大學<br>風險管理與保險研究所<br>100<br>This paper aims to analyze the decision making on model selection under alternative
constraints, utilizing the DCC-GARCH (Dynamic Conditional Correlation) model based
on weekly, monthly and quarterly time frequencies to investigate the performances of
mean-variance efficient portfolios. The empirical analysis is conducted using the
S&P500 stock index, FTSE NAREIT U.S. All REITs and the bond index obtained from
Barclays Capital U.S. Aggregate, all of which are sampled spanning from Jan. 3, 2000 to Apr. 29, 2011. The empirical results indicate that the strategy 4 which aims to maximize the rate of return with allowance of short selling outperforms to other strategies based on the Sharp ratio. According to the Hedge effectiveness, the strategy 1 which aims to minimize the variance of rate of return not allowing short selling, tend to be the best strategies, respectively.
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HSU, Ming-Chin, and 徐明墐. "SSI, Order Flow and Exchange Rate Volatility─DCC-GARCH Model." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/03950058937706380439.
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碩士<br>輔仁大學<br>經濟學研究所<br>97<br>Abstract
It is important to find the high correlated exchange rate with other economy variables in forecasting. The Meese and Rogoff (1983a,b) use traditional exchange rate determination models to forecast exchange rate and they showed that the random walk model were better than others.
Evans and Lyons (2002a) wanted to “beating a random walk” in forecasting is too strong a criterion for accepting an exchange rate model. They provided a model which described order flow in determining exchange rates. Order flow is taken to be a variant of the more familiar concept of ‘net demand’ and measures the net of buyer-initiated orders and seller-initiated orders. Evans and Lyons provided evidence to show that order flow was a significant determinant of two major bilateral exchange rates at the daily frequency, obtaining coefficients of determination substantially were larger than the ones which usually obtained using standard macroeconomic models of nominal exchange rates. Compared with the above literature, we use SSI for our empirical study.
The Speculative Sentiment Index (SSI) is based on proprietary customer flow information and is designed to recognize price trend breaks and reversals in the four most popularly traded currency pairs. The absolute number of the ratio itself represents the amount by which longs exceed shorts or vice versa.
Both of foreign exchange rates on order flow and on Speculative Sentiment Index (SSI) are investigated for five major exchange rate pairs, EUR/USD, GBP/USD, USD/CAD, USD/CHF and USD/JPY, across sampling frequencies 1 hour during 2003 and 2006.In the paper we use the Dynamic Conditional Correlation (DCC) Model to check the relationship with order flow, SSI and exchange rate. Our results indicate order flow and SSI both has high correlation coefficient with exchange rate especially in “winter” period. The results are similar with five major exchange rate pairs.
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Chen, Szu-Yin, and 陳思尹. "Synchronization of monthly real GDP :analysis by VAR-DCC-GARCH model." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/8atjxw.
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碩士<br>輔仁大學<br>經濟學系碩士班<br>102<br>The purpose of this paper is to disaggregate quarterly GDP into monthly GDP and then estimate the pair-correlation and VAR-DCC-GARCH model to measure the synchronization between individual countries and euro area. Then we attempt to compare these two results. The data which we use is from January, 1999 to December, 2010 in 13 countries. The empirical results reveal that the figures for the pair-correlation are higher than that for VAR-DCC-GARCH model. That is, we may overestimate when adopting pair-correlation. In addition, although Czech Republic and Hungary are the members of both euro union and euro area, the correlation which is estimated by VAR-DCC-GARCH model between euro area fluctuates. UK is not in euro area, however, the correlation between euro area is always positive.
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Hsu, Chih-Chien, and 徐治謙. "The Comovement Between Output and Price: Application of DCC-GARCH Model." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/h26rqy.
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碩士<br>國立臺北大學<br>經濟學系<br>102<br>This paper mainly discusses about the comovement between output and prices in order to know the relationship between output and prices over the business cycle. This paper according to the research opinions by Lee (2004), that employs a multivariate dynamic conditional correlation GARCH model to estimate the conditional covariance and correlation between output and prices using historical Taiwan quarterly data from 1981Q1 to 2013Q4. In line with the implications from the standard aggregate supply-aggregate demand model, the comovement between output and prices, as measured by their conditional covariance, is found to be positively associated with aggregate demand shocks and negatively associated with aggregate supply shocks. The empirical results show that the comovement between output and prices has been a dynamic change over time, in general the conditional correlation is negative.
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Chen, Chih-Wei, and 陳志偉. "Value-at-Risk Estimation on Foreign Exchange Portfolio Using DCC Multivariate GARCH Model." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/62430204975001725154.
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碩士<br>淡江大學<br>財務金融學系碩士班<br>93<br>In this study, we apply the Dynamic Conditional Correlation (DCC) multivariate GARCH model, proposed by Engle (2002), to estimate Value-at-Risk (VaR) on foreign exchange portfolio composed of eight currencies including Euro, British pound, Japanese yen, Canadian dollar, Taiwan dollar, South Korea won, Singapore dollar and Australian dollar. By comparing the performance based on the Kupiec PF test in backtesting and RMSE for capital efficiency among SMA, EWMA, CCC-GARCH and DCC-GARCH models, we conclude that the DCC-GARCH(1,1)-t model, which accounts for characteristics of fat-tail and volatility clustering, is the better choice to compute VaR on foreign exchange portfolio.
In addition, the returns of eight currencies lead to reject the null hypothesis of a constant conditional correlation, which reveals that the dynamic correlation model should be adopted. We also find that the correlation and VaR rise in periods when the conditional volatility of markets increases, implying that the volatility and correlation in international currency markets are dynamic time series. We could use such criterions as a good reference to allocate assets and diversify portfolio risk.
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Zhang, Jia-Hua, and 張家華. "Dynamic Asset Allocation Strategies Based on DCC Copula-GARCH Model with Non-Gaussian Distributions." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/69815800203821003713.
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碩士<br>國立高雄第一科技大學<br>風險管理與保險研究所<br>100<br>Due to the recent financial crisis, the dependence structure of different assets, together with the trade-off between risks and returns, has been emphasized in the portfolio management. In this study, we construct a dynamic asset allocation framework which applies Monte Carlo method to generate the dynamic optimal weights from dynamic conditional correlation (DCC) copula structure with non-Gaussian distributions based on minimum conditional-value-risk (CVaR) strategies. In addition, Zakamouline and Koekebakker (2009) propose adjusted for skewness and kurtosis Sharpe ratio (ASKSR) performance measure which take into account higher moments. According to the ASKSR of the dynamic asset allocation, it shows the DCC copula with non-Gaussian distributions is better than that with the static copula method. In addition, our dynamic asset allocation strategy can significantly reduce the impacts of the financial crisis on the portfolio values.
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Chen, Wei-pang, and 陳維邦. "The Relation Between Stock Price and Oil Price Volatility–An Application of DCC-GARCH Model." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/86197231003561158735.
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碩士<br>逢甲大學<br>財務金融學所<br>96<br>The impact of fluctuations of international crude oil price on the economics is always one of the important issues that everyone pays attention to. It influences a very wide aspects of our life. Besides the limited and getting exhausted resources of oil, and the rapid economics rise of the developing markets increased the demand of oil consumption, oil price jumps consequently. The purpose of this paper is to study how the stock prices are responsed to the variation of the oil prices.10 sample stocks of various industries including: cement, plastics,textiles, steel, car, semi-conductor, NB, air lines, utilities, and shipping lines was surved. Their 5 years longitudinal stock prices fluctuation, divided into two stages of prior and post, to explore how they were influenced by the oil price. Moreover, this study discussed further on the impact of different industries due to the prio and post stages of variations of oil price. The international oil price we take the Dubai crude price as the variable to analysis the impact of price how it affects the stock price. And will the relative level between stock and its fluctuation be changed because of the increasing oil price. In this article, Engle (2002) used Dynamic Conditional Correlation Multivariate GARCH as the foundation. The conclusion shows that stock price and its related factors will not change obviously because of the high crude oil price. Based on the attribution of each stock, the chart of the impact of oil price to the actively related factors of stock fluctuates not only smoothly but also sharply. When the price of oil fluctuates strongly, the related factors'' response is stronger, and this is different with the static model.
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Huang, Hsiao-Chin, and 黃小菁. "Application of DCC Multivariate GARCH Model at VaR－Evidence from G7 and Taiwan''s Stock Markets." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/26166602562701366460.
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碩士<br>淡江大學<br>財務金融學系碩士班<br>93<br>The purpose of this study is to find a more effective model to forecast Value-at-Risk (VaR). Due to a portfolio usually holds numerous assets, it would be difficult to estimate the very large covariance matrix that is required to caculate VaR. In this paper, we apply the Dynamic Conditional Correlation (DCC) multivariate GARCH model, proposed by Engle (2002), to estimate the future market risk. We also use two other variance-covariance forecast models, such as SMA and EWMA to compare the results. Through a portfolio composed of eight indices from the G7 (America, Canada, UK, France, Germany, Italy, Japan) and Taiwan stock markets, the findings imply that the VaR calculated from DCC multivariate GARCH model has better accuracy and efficiency. Moreover, among DCC models which pass the Kupiec PF test in backtesting, we examine RMSE for capital efficiency and find that t distribution performs better than normal distribution. Thus this study recommends DCC- GARCH(1,1)-t model to be the best option in computing VaR on equity portfolio. In addition, all the results indicate that the correlation and covariance of returns move in the same direction. That is correlations increase during times when the volatility of market is large.
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Huang, Chih-Wei, and 黃志偉. "Prices Transmission between A-Shares in China and H-Shares in Hong Kong:Multivariate GARCH-DCC Model Analysis." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/7x37hx.
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碩士<br>國立東華大學<br>國際經濟研究所<br>95<br>In this paper, we apply the dynamic conditional correlation (DCC) bivariate GARCH model,
proposed by Engle (2002), to estimate return and volatility spillover effects on twenty-nine
dually-listed A-share in China and H-share in Hong Kong.
The empirical results are as follows:
First, the returns of twenty-six dually-listed companies lead to reject the null hypothesis of a
constant conditional correlation, which reveals that the dynamic conditional correlation model
should be adopted.
Second, the Hong Kong stock market reveals the low persistency and spillover effect on return and volatility.
Third, the volatility spillover effect is significantly stronger than those for A-share and H-share stock markets.
Fourth, we have found that significant return and volatility spillover effects exist in the Chinese stock
market.
Finally, the estimates of the correlation coefficents suggests that a increasing tendency of
correlation coefficients between A- and H-share returns is significantly related to the liberalization
of China's stock market in recent years.
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CHEN, SHU-FANG, and 陳淑芳. "Forecasting Performance of Compare Foreign Exchange Rate Portfolio for Value at Risk─Multivarite CCC and DCC GARCH Model." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/qdhfu8.
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碩士<br>嶺東科技大學<br>財務金融系碩士班<br>103<br>In this study, use the Constant Conditional Correlation (CCC) proposed by Bollerslev (1990) and Dynamic Conditional Correlation (DCC) proposed by Engle (2002) Multivarite GARCH Model, to estimate on exchange rate CNY and HKD / NTD, CNY and USD / NTD, CNY and EUR / NTD, CNY and SGD / NTD, HKD and EUR / NTD, HKD and SGD / NTD,USD and SGD / NTD, EUR and SGD / NTD, composed of Foreign Exchange Rate Portfolio for Value at Risk (VaR). By comparing the CCC-GARCH and DCC-GARCH two models based on the GARCH(1,1), different confidence levels of predict ability to Value at Risk, based on the Kupiec in back-testing and RMSE for capital efficiency, two risk prediction performance indicators to assess for measure analysis. The result shows that DCC-GARCH(1,1)-N model compare to deal with financial assets for feature fat-tail and volatility clustering, is the better ability to risk performance control, therefore suitable selected as forecasting performance foreign exchange rate portfolio for Value at Risk model.
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Cho, Yu-min, and 卓玉敏. "Volatility and correlation in emerging markets and the role of exchange rate fluctuations：Application of DCC bivariate GARCH model." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/53642661977343332206.
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碩士<br>國立成功大學<br>會計學系碩博士班<br>95<br>This study develops a direct, clear model for the role of exchange rate fluctuations in international stock markets and examines how and what extent volatility and correlations in equity markets are influenced by exchange rate fluctuations. Evidence presented in this paper indicates that each emerging stock markets’ return is strongly correlated with the US stock market’s, and the volatility for each emerging stock markets is greater than that for the US stock market. We find that exchange rate fluctuations held a relatively large fraction of the variation in local stock market returns, and there was significant influence on the US/local equity market correlation.
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Kůs, David. "Matematické metody konstrukce investičních portfolií." Master's thesis, 2013. http://www.nusl.cz/ntk/nusl-321348.
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This thesis describes statistical approaches of investment portfolio constructions. The theoretic part presents modern portfolio theory and specific statistical methods used to estimate expected revenue and risk of portfolio. These procedures are specifically selection method, modelling volatility using multivariate GARCH model, primarily DCC GARCH procedure and Bayes approach with Jeffrey's and conjugated density. The practical part of the thesis covers application of above mentioned statistical methods of investment portfolio constructions. The maximization of Sharp's ratio was chosen as optimization task. Researched portfolios are created from Austria Traded Index issues of shares where suitable time series of historical daily closed prices. Results attained within assembled portfolios in two year investment interval are later compared.
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Lai, Yung-Chuan, and 賴勇銓. "Stock Markets in Europe and America under the Financial Tsunami on Taiwan Stock Market Risk Analysis : GARCH-DCC Model Application." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/56ed3z.
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碩士<br>嶺東科技大學<br>財務金融研究所<br>102<br>This paper takes the sample of Taiwan stock markets to discuss the United States, the United Kingdom, France, and Germany stock market’s influence on the Taiwan stock market and to consider the reward of transfer effect. Research period was from January 1, 2005 to October 24, 2013, and the selection is the common trading days among the countries with total 2071 date reward material. This paper using a dynamic conditional correlation bivariate GARCH model that simultaneously estimates time-varying correlation .
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Cai, Jia-Ni, and 蔡佳尼. "The Influence of Devaluation of RMB and GBP on the Stock Markets of the Greater China Area, An Application of DCC-GARCH Model." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/dmtfbw.
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碩士<br>嶺東科技大學<br>財務金融系碩士班<br>105<br>In the past few years, the evolution of financial internationalization had a huge impact on the growth of RMB. The pace of its internationalization had significantly increaseed and the influence on economies around China area have gotten deeper and deeper, especially towards Hong Kong and Taiwan. The exchange rate of RMB and other international currency have also made impacts on the stock markets around China, Hong Kong and Taiwan. This research evaluates the influence of devaluation of RMB and GBP on the stock markets of the greater China area from March 23th, 2012 to March 23th, 2017 by using Bivariate and Garch model. Based on the empirical evidence of the research, GBP has greater impact on the stock markets of Taiwan, Hong Kong, Shanghai and Shenzhen than RMB.
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Chen, Yu-lang, and 陳玉郎. "APPLIES VOLATILITY SPILLOVER AND MRS-DCC-GARCH MODEL TO INVESTIGATE THE OPTIMAL HEDGE RATIO OF HONG KONG STOCK INDEX AND RELATED FUTURES MARKET." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/97490560429694655792.
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碩士<br>銘傳大學<br>經濟學系碩士班<br>96<br>This thesis applies MRS-DCC-GARCH (Markov Regime Switching -Dynamic Conditional Correlation -Generalized Autoregressive Conditional Heteroskedasticity) Model, and VS-DCC-GARCH (Volatility Spillover -Dynamic Conditional Correlation -Generalized Autoregressive Conditional Heteroskedasticity) Model to investigate the optimal hedge ratio of Hong Kong Hang Seng stock index and related futures market. The rationale behind the use of these models stems from the fact that the dynamic relationship between spot prices and futures returns may be characterized by regime shifts. The empirical results show that MRS-CCC-GARCH model performs better than the other models.
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HUANG, KUN-MING, and 黃坤銘. "A Study on the Dynamic Correlations Among US Stock, Treasury Bond andTreasury Bond Futures Markets under the Crisis of Subprime Mortgage and Financial Tsunami：The Application of VEC DCC GJR-GARCH Model andVEC Copula GJR-GARCH-skewed-t Model." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/00285305031586744297.
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碩士<br>國立臺北大學<br>國際企業研究所<br>98<br>This study investigates the dynamic correlations among S&P 500 stock index, US 10-year treasury bond index and futures under the crisis of subprime mortgage and financial tsunami by using VEC DCC GJR-GARCH model and VEC Copula GJR-GARCH-skewed-t model. It also discusses the contagion effect of the crisis of subprime mortgage and financial tsunami on the US finance market. The sample period of this study is from January 1, 2004 to February 26, 2010.
The empirical results obtainy from the VEC DCC GJR-GARCH model verify that during the crisis of subprime mortgage and financial tsunami period, the correlation coefficients between stock and bond markets and between stock and bond futures markets have increased, mean the correlation coefficients between bond and futures market have decreased. The model results also indicated that the return and volatility correlation of US stock, bond and futures markets are affected by the crisis of subprime mortgage and financial tsunami(contagion effect), rather than simply by cross-market information transmission through the volatility spillovers between any two markets as metioned above.
In addition, the of VEC Copula GJR-GARCH-skewed-t model signify the highly tail-dependency structure between stock-bond, stock-bond futures and bond-bond futures markets. We also found that the market dependency between those any two markets have during the period of subprime mortgage crsis and financial tsunami.
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Veselý, Daniel. "Vícerozměrné finanční časové řady." Master's thesis, 2011. http://www.nusl.cz/ntk/nusl-313775.
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In this work we will describe methods for modeling multivariate financial time series. We will concentrate on both modeling expected value by multi- variate Box-Jenkins processes and primarily on modeling conditional corre- lations and volatility. Our main object will be DCC (Dynamic Conditional Correlation) model, estimation of its parameters and some other general- izations. Then we will programme DCC model in statistical software R and apply on real data. In applications we will concentrate on problem of high dimension of financial time series and on modeling conditional correlations data with outliers.
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Chen, Weichen, and 陳威蓁. "The Study on Correlation and Hedge Effect among China Shanghai Securities Composite Index , Hong Kong Hang Seng China Enterprises Index and Hong Kong Hang Seng China Enterprises Index Future-The Application of Major Effect, VEC DCC GJR-GARCH Model and." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/21332064204087732303.
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碩士<br>國立臺北大學<br>國際企業研究所<br>99<br>This study investigates the correlations among China Shanghai Securities Composite Index(SSCI), Hong Kong Hang Seng China Enterprises Index(HSCEI) and its Futures(HSIF) under the crisis of subprime mortgage and financial tsunami by using VEC DCC GJR-GARCH Model and VEC Copula GJR-GARCH Skewed-t Model. It also discusses the contagion effects of the crisis of subprime mortgage and financial tsunami on the China Shanghai Securities Composite index, Hong Kong Hang Seng China Enterprises Index and its Futures. The sample period of this study is from December 8, 2003 to February 28, 2011.
The empirical results obtaining from the VEC DCC GJR-GARCH model verify that during the crisis of subprime mortgage and financial tsunami period, the correlation coefficients between SSCI- HCEI,SSCI- HSIF and HCEI-HSIF have increased. The results also indicated that the return and volatility correlation of these three markets are affected by the crisis of subprime mortgage and financial tsunami(contagion effect), rather than simply cross-market information transmission through the volatility spillovers between any two markets as mentioned above. Moreover, the estimated results signify that the hedge ratio and hedge performance of HSIF to their cash markets have increased during the subprime mortgage and financial tsunami period. The strategies effects of direct hedge are more than that of indirect hedge.
In addition, the VEC Copula GJR-GARCH skewed-t model signifies the highly tail-dependency structure between SSCI-HCEI and SSCI-HSIF, and the double tail- dependency between HSCEI-HSIF. We also found that the market dependency between those any two markets have increased during the period of subprime mortgage crisis and financial tsunami. The hedge ratio and hedge performance estimated by this Copula Model are higher than those estimated in the VEC DCC GJR-GARCH Model.
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Pereira, Inês de Jesus Prates. "Contágio da crise da dívida soberana na área do euro no período de 2007 a 2013: os casos de Portugal, Grécia e Irlanda." Master's thesis, 2013. http://hdl.handle.net/10071/7271.
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Este estudo analisa o co-movimento entre o mercado obrigacionista português e o mercado obrigacionista grego, irlandês e alemão, após o início da crise do subprime (2007 a 2013). Pretende-se com este trabalho perceber se existiram evidências de contágio entre o mercado obrigacionista português e o mercado obrigacionista grego e irlandês e se existiram fluxos de capitais do mercado obrigacionista português e grego para o mercado obrigacionista da Alemanha (fuga para a qualidade), nos períodos de crise identificados (desde o início da crise do subprime até ao 1º trimestre de 2013). O estudo permite também averiguar se existe um decoupling entre o mercado obrigacionista de Portugal e da Grécia e uma aproximação dos mercados obrigacionistas de Portugal e Irlanda, como tem vindo a ser percecionado pelos investidores.
A análise é realizada através da estimação de modelos econométricos DCC-IGARCH, utilizando dados diários dos yields das OT com maturidade a 10 anos do mercado obrigacionista de Portugal, Grécia, Irlanda e Alemanha.
Os resultados obtidos sugerem a existência de contágio entre o mercado obrigacionista grego e português na maior parte das crises identificadas. A análise da evolução da correlação entre os mercados obrigacionistas, no final do período em estudo, indicia a não existência de decoupling entre os yields de Portugal e da Grécia e um afastamento entre os yields de Portugal e Irlanda. São evidentes, na maior parte das crises identificadas (inclusive nas verificadas em 2012 e 2013), fluxos de fuga para a qualidade do mercado obrigacionista português e grego para o alemão.
Palavras-chave: contágio; fuga para a qualidade; crise da dívida soberana da área do euro; .<br>This work aims to analyse the co-movements between the Portuguese and the Greek, Irish and German government bond market, after the subprime crisis (2007 to 2013). Its double objective is to detect the existence of contagion between the Portuguese market and the Greece and Ireland markets and to explore the phenomena of flight-to-quality, by taking a look at the capital flows moving from the Portuguese and Greek bond markets to the German bond market. This study also investigates if Portugal bond market is decoupling from Greek bond market and approaching the Irish market situation, seen as a better one by the market participants.
The analysis is undertaken through econometric estimations (DCC-IGARCH models), using daily data for the yields of 10 year maturity government bonds of Portugal, Greece, Ireland and Germany.
The obtained results suggest the existence of contagion between the Greek and the Portuguese market. The correlation between the Portuguese and Greek yields at the end of the analysed period indicates the not existence of decoupling between the two countries. By other hand, the correlation between Portugal and Ireland shows these countries are heading to different directions. During most of the identified crises periods, flight-to-quality flows are evident from the Portuguese and Greek bond markets to Germany.
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Chen, Nash, and 陳昱宏. "Optimal Hedge Ratio of Commodity Futures Using Bivariate DCC-CARR and DCC-GARCH Models." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/83027752092707981578.
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碩士<br>國立中央大學<br>財務金融研究所<br>93<br>When traders participate in both cash and futures markets they must choose a hedging strategy that reflects their individual goals and attitudes towards risk. At the same time, optimal portfolio management depends not only on the fundamental and technological analysis in maximizing returns, but it also encompasses diversification techniques in (un)systematic risk. Nevertheless, systematic risk can be effectively eliminated by futures contracts.
In this thesis, we focus on diversification to minimize the portfolio variance and will consider the minimum-variance hedge strategy because the benefits of sophisticated estimation techniques of the hedge ratio are small (Lence, 1995b). At first, we take the commodity prices, and then compute the Optimal Hedge Ratios (OHRs) between spot and futures using different methods. Here, the hedge ratios are used to hedge the spot price risk in simulations of investment.
In analysis, we use the Dynamic Conditional Correlation - Conditional Autoregressive Range (DCC-CARR) model proposed by Chou et. al. (2005) to compute the OHRs. Other alternative methods used for comparison include the ordinary least squares (OLS) estimator which provides an estimate for the minimum-variance hedge ratio, Constant Conditional Correlation –Generalized Autoregressive Conditional Heteroskedasticity and CARR (CCC-GARCH and CCC-CARR) models, and DCC-GARCH model.
Different methods used to compute hedge ratios are compared with each other in their performance of variance-reduction. While the spot price risk is hedged by their corresponding futures, within-sample hedge, the results show that the DCC-CARR model performs better than the other hedge models for the selected commodities with the exception of gold. For an out-sample hedge in one-period it supports that the DCC-CARR model is the best model for any commodity. But, in other period, the results are mixed because of the trading noises. In conclusion, we suggest that the DCC-CARR model is the better model for investors to find the minimum-variance of a portfolio.
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Mašková, Jana. "Analysis of Interdependencies among Central European Stock Markets." Master's thesis, 2011. http://www.nusl.cz/ntk/nusl-298278.
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The objective of the thesis is to examine interdependencies among the stock markets of the Czech Republic, Hungary, Poland and Germany in the period 2008-2010. Two main methods are applied in the analysis. The first method is based on the use of high-frequency data and consists in the computation of realized correlations, which are then modeled using the heterogeneous autoregressive (HAR) model. In addition, we employ realized bipower correlations, which should be robust to the presence of jumps in prices. The second method involves modeling of correlations by means of the Dynamic Conditional Correlation GARCH (DCC-GARCH) model, which is applied to daily data. The results indicate that when high-frequency data are used, the correlations are biased towards zero (the so-called "Epps effect"). We also find quite significant differences between the dynamics of the correlations from the DCC-GARCH models and those of the realized correlations. Finally, we show that accuracy of the forecasts of correlations can be improved by combining results obtained from different models (HAR models for realized correlations, HAR models for realized bipower correlations, DCC-GARCH models).
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Jílek, Jiří. "Evropské realitní investiční trusty: Analýza korelace za použití DCC- GARCH modelu." Master's thesis, 2012. http://www.nusl.cz/ntk/nusl-307443.
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Bibliographic Record JÍLEK, Jiří. European Real Estate Investment Trusts: Analyzing Correlation with a DCC- GARCH Model. Prague, 2012. 50 p. Master thesis (Mgr.) Charles University in Prague, Faculty of Social Sciences, Institute of Economic Studies. Supervisor: Tomáš Jandík MA MSc MRICS. Abstract The main goal of this thesis is to study the interdependencies between returns of European real estate investment trusts (REITs) and other investment asset classes such as European equities, government bonds and commodities. The thesis is divided into two parts: in the first part, we describe the necessary background that led to the emergence of first REIT structures and also provide an overview of the European REITs market. In the second part, we apply the Dynamic Conditional Correlation GARCH (DCC-GARCH) model to examine correlations between the above mentioned asset classes. The general understanding of real estate is that it provides diversification benefits to a diversified portfolio. However, our results suggest that returns of European REITs and stocks show a relatively high correlation and more importantly, the correlation increases in time. These findings have significant implications for investors and portfolio managers who seek protection for their portfolios in time of market downturns. Our results...
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Nováková, Martina. "Mnohorozměrné modely zobecněné autoregresní podmíněné heteroskedasticity." Master's thesis, 2021. http://www.nusl.cz/ntk/nusl-437910.
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This master thesis deals with extension of the univariate GARCH model to multivari- ate models. We present individual models and deal with methods of their estimation. Then we describe some statistical tests for diagnosting the models. We have programmed in the statistical software R one of them - the Ling-Li test. Afterwards we apply selected models to real data of stock market index S&P 500, stock market index Russell 2000 and stocks of crude oil. For the GO-GARCH model, we compare all available estimation methods and show their differences. Then we compare the results of all models with each other and also with univariate models in terms of estimates of conditional variances, estimates of conditional correlations and also in terms of computational complexity. 1
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Morais, Inês Filipa Vitorino de. "O contágio financeiro nos países do grupo Visegrád: as crises entre 2000 e 2014." Master's thesis, 2015. http://hdl.handle.net/10071/11240.
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Códigos JEL: E44, G01 e G15<br>Com a realização deste estudo pretende-se analisar a relação que existe entre os mercados acionistas dos países do grupo Visegrád, ao longo dos últimos catorze anos, tendo como objetivo investigar a existência de contágio financeiro entre os vários mercados acionistas, para os vários períodos de crise identificados. Adicionalmente, também se estudam as relações entre o índice bolsista de referência para os EUA e cada um dos membros do grupo Visegrád.
A análise é concretizada com recurso à estimação de modelos econométricos DCC-GARCH, utilizando os retornos diários dos índices acionistas para os EUA, a Eslováquia, a Hungria, a Polónia e a República Checa, para o período compreendido entre janeiro de 2000 e dezembro de 2014.
Os resultados da análise, para as hipóteses consideradas, sugerem ter existido contágio financeiro em, praticamente, todas as crises identificadas como intrínsecas a cada país e, também, contágio mas induzido por eventos externos durante a Crise do Subprime e na Crise da Dívida Soberana. Relativamente à relação entre o mercado acionista norte-americano e cada um dos membros do grupo Visegrád verifica-se que existiu contágio durante as principais crises financeiras com origem na grande potência mundial (Crise da Bolha dot.com, do Subprime e da Dívida Soberana). Note-se que para nenhum caso se registou evidência de contágio durante a crise financeira de 2009.<br>This dissertation focuses on the analyses of co-movements between stock markets of countries of the Visegrád group, for the last fourteen years. The objective is to investigate the existence of financial contagion between the stock markets in different identified crises periods. In addition, this research also studies the relation between the reference stock index for the USA and each member of the Visegrád group.
The analyses is based on the estimation of DCC-GARCH models, using data of daily stock returns for the USA, Slovakia, Hungary, Poland and the Czech Republic, for the period between January 2000 and December 2014.
The obtained results suggest the existence of contagion at almost all identified crises intrinsic to each country and contagion by external event during the subprime and sovereign debt crises. Relatively to the co-movements between the USA stock index and each Visegrád country, the results also suggest the existence of contagion during the main financial crises from the USA (dot.com, subprime and sovereign debt crises). There is, however, no evidence of contagion during the 2009 financial crisis.
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Chin, Yu-ming, and 秦裕明. "MRS-DCC-GARCH MODELS FOR ESTIMATING THE HEDGE-PERFORMANCE, TAKE AN EXAMPLE FOR TATWAN AND JAPAN STOCK INDICES." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/55745192540753239583.
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碩士<br>銘傳大學<br>經濟學系碩士班<br>96<br>Abstract
Stock market of the country is the module of economy, and the stock price indicts usually means one country’s economic status. In this paper we describe an approach for determining time-varying minimum variance hedge ratio in stock index futures markets by using Markov Regime Switching (MRS) GARCH models. The MRS nests within it both the dynamic conditional correlation GARCH (DCC) and the constant conditional correlation GARCH (CCC). The relation behind the use of these models stems from the fact that the dynamic relationship between spot and futures returns may be characterized by regime shifts, which, suggest that by allowing the hedge ratio to be dependent upon the state of the market. Point estimates based on the Taiwan Weighted and the Nikkei225 index data shows that MRS hedge-performance outperforms other models in reducing portfolio risk.
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Chang, Wu-Yen, and 張戊烟. "The Study of Hedge Ratios and Hedging Performance of Stock Spot/Stock Index Futures in Taiwan–The Applications of OLS, Rolling Regression, Bivariate CC GARCH and Bivariate DCC GARCH Models." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/40688370472586313781.
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碩士<br>國立中興大學<br>企業管理學系所<br>100<br>When investors hold stock future index to avoid investment risk, if they can choose the optimal estimated model to get the realized hedge ratio, they can get the better hedge performance. However, though the domestic relative researches about the estimation of the spot/stock future index have used OLS and GARCH models to estimate the realized hedge ratio, most of them just regard the reduction of variance as hedge performance. In this way, they may neglect the real demand of investors which is investors want to undertake every unit of risk to get the super profit. So we use the OLS, Rolling Regression, Bivariate CC GARCH and Bivariate DCC GARCH models to analyze three spot stock indexes and three future stock indexes. Therefore, we can get the realized hedge ratio and use the Sharpe index to compare the hedge performance of each model. The result shows that the realized hedge ratio of Bivariate CC GARCH model has better hedge performance than others. Besides, the realized hedge ratio of Bivariate DCC GARCH model is lower than Bivariate CC GARCH. It means when investors adjust the realized hedge ratio, they must avoid adjusting it frequently.
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Bureček, Tomáš. "Modely vícerozměrných finančních časových řad v úloze optimalizace portfolia." Master's thesis, 2020. http://www.nusl.cz/ntk/nusl-434574.
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This master thesis deals with the modeling of multivariate volatility in finan- cial time series. The aim of this work is to describe in detail selected approaches to modeling multivariate financial volatility, including verification of models, and then apply them in an empirical study of asset portfolio optimization. The results are compared with the classical approach of portfolio optimization theory based on unconditional moment estimates. The evaluation was based on four known op- timization problems, namely minimization of variance, Markowitz's model, ma- ximization of the Sharpe ratio and minimization of CVaR. The output portfolios were compared by using four metrics that reflect the returns and risks of the port- folios. The results demonstrated that employing the multivariate volatility models one obtains higher expected returns with less expected risk when comparing with the classical approach. 1
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Moravcová, Michala. "Tři eseje o měnových trzích ve střední Evropě." Doctoral thesis, 2019. http://www.nusl.cz/ntk/nusl-408284.
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This dissertation thesis consists of three essays on new EU foreign exchange markets (FX), i.e. the Czech koruna, Polish zloty and Hungarian forint. In the first two essays, the impact of foreign macroeconomic news announcements and central banks' monetary policy settings on the value and volatility of examined exchange rates is analyzed. In the third chapter, the conditional comovements and volatility spillovers on new EU FX markets is examined. The aim of this thesis is to contribute to the existing empirical literature by providing new evidence of the examined currencies during periods, which have not been examined yet (after the Global financial crisis (GFC), during the EU debt crisis and during currency interventions in the Czech Republic). The first essay (Chapter 2) examines the impact of Eurozone/Germany and US macroeconomic news announcements and monetary policy settings of the ECB and the Fed on the value of new EU member states' currencies. It is a complex analysis of 1-minute intraday dataset performed by event study methodology (ESM). We observe different reactions of exchange rates in pair with the US dollar on the US macroeconomic announcements and Euro-expressed FX rates on Germany macro news during the EU debt crisis and after it. We also provide evidence of leaking news, showing...
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Lobo, Joana Miguel Barbosa de Oliveira. "A transmissão de volatilidade nos mercados acionistas e de mercadorias." Master's thesis, 2020. http://hdl.handle.net/10773/30354.
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Com a realização deste estudo pretende-se analisar a relação existente entre o mercado acionista e o mercado de mercadorias, aqui representados pelo índice financeiro representativo do mercado norte-americano SP500 e por quatro mercadorias que representam vários ativos subjacentes de contratos de futuros comercializados, petróleo, ouro, milho e algodão, a fim de medir o impacto que a crise, período de maior turbulência financeira, teve em cada uma dessas relações e a existência de possíveis efeitos de contágio financeiro entre estes mercados nas últimas duas décadas. A análise é feita com recurso às estimações do modelo DCC-GARCH, utilizando os dados semanais dos retornos dos futuros analisados e também do índice em causa, para o período de janeiro de 2000 a dezembro 2017.
Os resultados empíricos sugerem a existência de efeitos de contágio financeiro nas últimas duas décadas, uma vez que para as todas as análises efetuadas entre o mercado acionista e os quatro mercados de mercadorias em estudo, há um aumento de correlação no período identificado como correspondente à crise financeira, que representa a transmissão de volatilidade existente.
Comparando os períodos pré e pós-crise, o nível de correlação no período após a crise é, em todos os casos, superior ao verificado no período anterior à mesma, o que indica que as ligações entre os mercados acionistas e de mercadorias são agora mais fortes do que antes.<br>The goal of this study is to analyse the existing relationship between the stock market and the commodity market, hereby represented by the North American markets financial index SP500 and by four commodities representing several underlying assets of future contracts traded: oil, gold, corn, and cotton, in order to measure the impact that the crisis, period of greatest financial turmoil, had in each of these relationships and whether there are possible effects of financial contagion between these markets in the last two decades. The analysis is performed with estimates from the DCC-GARCH model, using weekly data on the returns of the analysed futures and also the index in question, for the period between January 2000 and December 2017.
The empirical results suggest there are financial contagion effects in the last two decades, since all analyses between the stock market and the four commodities markets studied show an increase in correlation for the period identified as corresponding to the financial crisis, which represents the existing volatility transmission.
Comparing the pre-crisis and post-crisis periods, the level of correlation in the post-crisis is, in all cases, higher than verified in period before crisis, wich indicates that the links between the stock and commodity markets are now stronger than before.<br>Mestrado em Gestão
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Santos, João Luís Rosa dos. "Relação entre o mercado acionista e os denominados ativos de refúgio: o caso europeu entre 2001 e 2015." Master's thesis, 2016. http://hdl.handle.net/10071/12955.
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Códigos JEL: E44, F31, G11 e G15<br>Esta investigação tem o objetivo de analisar a relação existente entre o mercado acionista
europeu e os denominados ativos de refúgio, a fim de perceber qual o impacto que as crises bolsistas
têm neste tipo de ativo. Este estudo procura também perceber se existem diferenças entre o
comportamento dos investidores europeus e americanos, através das reações que os ativos de
refúgio têm às crises bolsistas, de cada continente.
Para o estudo, utilizam-se dados diários, do período entre Janeiro de 2001 e Dezembro de
2015, do índice EURO STOXX 50 e do índice S&P 500, em representação do mercado acionista
europeu e norte-americano, respetivamente. No lado dos ativos de refúgio são utilizadas as taxas de
juro das Obrigações do Tesouro com rating elevado (Alemanha e Estados Unidos), o Franco Suíço
(par EUR/CHF e USD/CHF) e o preço do ouro. Para aferir a relação entre mercados acionistas e
ativos de refúgio recorre-se à metodologia desenvolvida por Engle (2002): o modelo DCC-GARCH.
Os resultados empíricos comprovam que todos os ativos contidos no estudo apresentam
propriedades de refúgio e cobertura, face ao mercado acionista europeu. A relação entre o mercado
acionista americano e estes ativos é semelhante à europeia, porém com maiores debilidades na
capacidade de refúgio de alguns ativos (principalmente na crise do subprime), como é o exemplo do
ouro e Franco Suíço.<br>This research aims at analyzing the relationship between the European stock market and the
so-called safe haven assets, in order to understand the impact that the stock market crises have in this
type of asset. This study also tries to find out whether there are differences between the behavior of
European and American investors, through the different reactions of safe haven assets during the
stock market crises in each continent.
In order to carry out this investigation, daily data have been used, from the period between
January 2001 and December 2015, from the EURO STOXX 50 Index and the S&P 500 Index,
representing the European and American stock market, respectively. With regard to refuge assets we
have used the interest rates from Treasury Bonds with high rating (Germany and United States), the
Swiss Franc (EUR/CHF and USD/CHF) and the Gold price. To assess the connection between the
stock markets and the safe haven assets we have applied the methodology developed by Engle
(2002): the DCC-GARCH model.
The empirical results prove that all assets in this study show hedge and safe haven properties,
compared to EURO STOXX 50. On the other hand, the relationship between the US stock market and
this kind of asset is similar to the European one, with hedge and safe haven capability, but some
assets (gold and CHF) have more weaknesses in refuge capacity, especially during subprime crisis.
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Asseiceiro, Mariana de Sousa Magalhães. "Risk and returns of financial stock market indices: an empirical application." Master's thesis, 2019. http://hdl.handle.net/10071/19695.
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In this dissertation it is presented an empirical study that focus the period from 3 January 2007 to 1 October 2018, about the interactions between stock markets of Europe, United States of America (USA) and Asia, by implementing a generalized vector autoregressive (VAR) model and a dynamic conditional correlation (DCC) model.
For this purpose, three different stock market indices (Euro Stoxx 50 - Europe, S&P 500 – USA, and Nikkei 225 – Asia) were chosen to be representative of each geography they concern, in order to inquire if the indices are related between each other or not.
In general, the empirical results allow to conclude that returns of S&P 500 and Euro Stoxx 50 returns depend on their own past returns. Additionally, Euro Stoxx 50 returns are influenced by past returns of S&P 500 and there is no evidence of causality relationship from Nikkei 225 returns to any of the other indices returns.
Moreover, the conditional analysis of the pairwise correlations reveals that these are positive. The results presented by the DCC model indicate that it provides an accurate description of the dynamics of the correlations between the time series analysed for the purpose of this dissertation.<br>No presente trabalho, é apresentado um estudo empírico com base no período entre 3 de Janeiro de 2007 e 1 de Outubro de 2018, acerca das interações entre os mercados de capitais da Europa, Estados Unidos da América (EUA) e Ásia, através da estimação do modelo VAR e do modelo DCC.
Para este propósito, foram escolhidos três índices de ações representativos da geografia a que dizem respeito (Euro Stoxx 50 – Europa, S&P 500 – EUA e Nikkei 225 – Ásia) de modo averiguar se os índices estão relacionados entre si ou não.
Em termos gerais, os resultados obtidos permitiram concluir que as taxas de rendibilidade dos índices S&P 500 e Euro Stoxx 50 dependem das suas rendibilidades passadas, as rendibilidades do Euro Stoxx 50 são influenciados pelas rendibilidades passadas do S&P 500 e não há evidências de causalidade nem do S&P 500 nem do Nikkei 225 para as rendibilidades dos restantes índices. Adicionalmente, a análise das correlações condicionais a pares revela que estas são positivas. Os resultados produzidos pelo modelo DCC revelam que este é um modelo apropriado para descrever as dinâmicas correlacionais entre as várias séries temporais em questão.