IDEAS home Printed from https://ideas.repec.org/p/uwa/wpaper/13-29.html
   My bibliography  Save this paper

Analysis of Volatility Spillover Effects: Two-Stage Procedure Based on a Modified Garch-M

Author

Listed:
  • Parinaz Ezzati

    (University of Western Australia)

Abstract

With the beginning of global financial integration in the mid-1980s, co-movements of volatilities were also observed. These co-movements suggest that financial markets’ volatilities spillover from one market to another. This study has been undertaken to establish the soundness of this proposition, focusing on Iran, through an analysis of the international transmission of financial volatility movements among six selected countries, considering unidirectional effects coming from the U.S., Germany, Japan, Saudi Arabia and Kuwait to Iran. The selection of these countries was based on the recycling of petrodollars. The analysis has been conducted using two stage procedure based on GARCH-M model; whilst data took the form of monthly financial returns derived from equity, money and foreign exchange markets of the selected countries. Results indicate existence of significant volatility interdependencies among Iranian financial markets within the Middle East and with the rest of the world. Interestingly, this paper also sheds light on the fact that while financial markets may not be integrated in levels, they can still be integrated in variances.

Suggested Citation

  • Parinaz Ezzati, 2013. "Analysis of Volatility Spillover Effects: Two-Stage Procedure Based on a Modified Garch-M," Economics Discussion / Working Papers 13-29, The University of Western Australia, Department of Economics.
    • Handle: RePEc:uwa:wpaper:13-29
    as

    Download full text from publisher

    File URL: https://ecompapers.biz.uwa.edu.au/paper/PDF%20of%20Discussion%20Papers/2013/13-29%20Analysis%20of%20Volatility%20Spillover%20Effects%20-%20Two%20Stage%20Procedure%20Based%20on%20a%20Modified%20GARCH-M.pdf
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Saswat Patra & Pradiptarathi Panda, 2021. "Spillovers and financial integration in emerging markets: Analysis of BRICS economies within a VAR‐BEKK framework," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 493-514, January.
    2. Sikhosana, Ayanda & Aye, Goodness C., 2018. "Asymmetric volatility transmission between the real exchange rate and stock returns in South Africa," Economic Analysis and Policy, Elsevier, vol. 60(C), pages 1-8.
    3. Do, A. & Powell, R. & Yong, J. & Singh, A., 2020. "Time-varying asymmetric volatility spillover between global markets and China’s A, B and H-shares using EGARCH and DCC-EGARCH models," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:uwa:wpaper:13-29. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sam Tang (email available below). General contact details of provider: https://edirc.repec.org/data/deuwaau.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.