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• W1740106620 abstract "This study focuses on establishing the existence of volatility spillover effects between stock indices that represent developed and emerging markets. We employ a CGARCH(1,1) model, which distinguishes between the short-term (transitory) and long-term (permanent) conditional variance, allowing us to simultaneously examine the time trends of changes in volatility and spillover effects between developed and growing economies. Our data sample covers a period from January 1995 to April 2013 and is further broken down into two subsamples from January 1995 to January 2008 and from January 2008 to April 2013, which respectively represent periods before and after the global financial crisis. We find some evidence that volatility spillover moves in a uni-directional way from the developed to the emerging markets when examining the whole period. In our full sample, we conclude spillover from the USA to China, as well as from France and Germany to Russia. Although, when we break our data into the subsamples, volatility before the crisis exhibits a flow from the emerging market of India to the USA. Our subsample after the crisis determines volatility spillover from all developed markets to India. Through testing the standardized residuals of the model as well as examining information criterion parameters we concluded that the CGARCH(1,1) has captured the ARCH effects and is sufficient for the purposes of the study. (Less)" @default.
• W1740106620 created "2016-06-24" @default.
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• W1740106620 date "2013-01-01" @default.
• W1740106620 modified "2023-09-27" @default.
• W1740106620 title "Estimation of Volatilities and Spillover Effects Between Developed and Emerging Market Economies" @default.
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