Analysis of contagion from the dynamic conditional correlation model with Markov Regime switching

Resumo

Over the last decades, the transmissions of international financial events have been the subject of many academic studies focused on multivariate volatility models. This study evaluates the financial contagion between stock market returns. The econometric model employed, regime switching dynamic correlation (RSDC). A modification was made in the original RSDC model, the introduction of the GJR-GARCH-N and also GJR-GARCH-t models, on the equation of conditional univariate variances, thus allowing us to capture the asymmetric effects in volatility and also heavy tails. A database was built using series of indices in the United States (S&P500), the United Kingdom (FTSE100), Brazil (IBOVESPA) and South Korea (KOSPI) from 1 February 2003 to 20 September 2012. Throughout this study the methodology is compared with those frequently found in literature, and the model RSDC with two regimes was defined as the most appropriate for the selected sample with t-Student distribution in the disturbances. The adapted RSDC model used in this article can be used to detect contagion - considering the definition of financial contagion from the World Bank called very restrictive - with the help of the empirical exercise.

Ficha do documento

Tipo

Artigo científico

Ano

2016

Instituição

Routledge Journals, Taylor & Francis Ltd

Fonte

Repositório da FGV

Idioma

Inglês

Acesso

Acesso restrito

DOI

10.1080/00036846.2015.1119794

Identificador

oai:repositorio.fgv.br:10438/23574

Temas

Economia

Palavras-chave

ContagionMultivariate volatility modelsMarkovian switching regimeGARCH-GJR-tEconomiaModelos econométricosMarkov, Processos de