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Application of DCC-GARCH Model for Analysis of Interrelations Among Capital Markets of Poland, Czech Republic and Germany

Author

Listed:
  • Marek Zinecker

    (Brno University of Technology, Czech Republic)

  • Adam P. Balcerzak

    (Nicolaus Copernicus University, Poland)

  • Marcin Faldzinski

    (Nicolaus Copernicus University, Poland)

  • Michal Bernad Pietrzak

    (Nicolaus Copernicus University, Poland)

  • Tomáš Meluzin

    (Brno University of Technology, Czech Republic)

Abstract

The phenomenon of growing capital market linkages is a significant exogenous factor affecting the effectiveness of national economic policies and risk management processes in enterprises. As a result the identification of interdependencies among capital markets is important both from the macro and microeconomic perspective. In this context the main aim of this article is to examine the relations among capital markets of Poland, Czech Republic and Germany. In the research DCC-GARCH model with the t-student conditional distribution was applied. The analysis was conducted for the years 1997-2015. The research findings confirmed significant interdependencies among analysed capital markets, which were evaluated here by conditional correlations.

Suggested Citation

  • Marek Zinecker & Adam P. Balcerzak & Marcin Faldzinski & Michal Bernad Pietrzak & Tomáš Meluzin, 2016. "Application of DCC-GARCH Model for Analysis of Interrelations Among Capital Markets of Poland, Czech Republic and Germany," Working Papers 4/2016, Institute of Economic Research, revised Feb 2016.
    • Handle: RePEc:pes:wpaper:2016:no4
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    Citations

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    Cited by:

    1. Tomas Meluzin & Marek Zinecker, 2016. "Trends In Ipos: The Evidence From Cee Capital Markets," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 11(2), pages 327-341, June.
    2. Robiyanto Robiyanto & Michael Alexander Santoso & Apriani Dorkas Rambu Atahau & Harijono Harijono, 2019. "The Indonesia Stock Exchange and Its Dynamics: An Analysis of the Effect of Macroeconomic Variables," Montenegrin Journal of Economics, Economic Laboratory for Transition Research (ELIT), vol. 15(4), pages 59-73.
    3. Robiyanto Robiyanto & Rihfenti Ernayani & Rendi Susiswo Ismail, 2019. "Formulation Of A Dynamic Portfolio With Stocks And Fixed-Income Instruments In The Indonesian Capital Market," Organizations and Markets in Emerging Economies, Faculty of Economics, Vilnius University, vol. 10(1).

    More about this item

    Keywords

    interdependences among capital markets; conditional variance and correlations; DCC-GARCH model;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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