Understanding Volatility Spillover Relationship Among G7 Nations And India During Covid-19
Purpose: In the context of a COVID pandemic in 2020-21, this paper attempts to capture the interconnectedness and volatility transmission dynamics. The nature of change in volatility spillover effects and time-varying conditional correlation among the G7 countries and India is investigated. Methodology: To assess the volatility spillover effects, the bivariate BEKK and t- DCC (1,1) GARCH (1,1) models have been used. Our research shows how the dynamics of volatility spillover between India and the G7 countries shift before and during COVID-19. Findings: The findings reveal that the extent of volatility spillover has altered during COVID compared to the pre-COVID environment. During this pandemic, a sharp increase in conditional correlation indicates an increase in systematic risk between countries. Originality: The study contributes to a better understanding of the dynamics of volatility spillover between G7 countries and India. Asset managers and foreign corporations can use the changing spillover dynamics to improve investment decisions and implement effective hedging measures to protect their interests. Furthermore, this research will assist financial regulators in assessing market risk in the future owing to crises like as COVID-19.
Code (0)
등록된 구현이 없습니다.
Similar Papers 제목 키워드 기반
Volatility Spillovers and Interconnectedness in OPEC Oil Markets: A Network-Based log-ARCH Approach
This paper examines several network-based volatility models for oil prices, capturing spillovers among OPEC oil-exporting countries by embedding novel network structures into ARCH-type models. We apply a network-based lo…
Time Series ClusteringAsymmetric volatility connectedness on forex markets
We show how bad and good volatility propagate through forex markets, i.e., we provide evidence for asymmetric volatility connectedness on forex markets. Using high-frequency, intra-day data of the most actively traded cu…
Unique futures in China: studys on volatility spillover effects of ferrous metal futures
Ferrous metal futures have become unique commodity futures with Chinese characteristics. Due to the late listing time, it has received less attention from scholars. Our research focuses on the volatility spillover effect…
Global Stock Market Volatility Forecasting Incorporating Dynamic Graphs and All Trading Days
This study introduces a global stock market volatility forecasting model that enhances forecasting accuracy and practical utility in real-world financial decision-making by integrating dynamic graph structures and encomp…
AllDecision MakingGraph Neural NetworkHow does stock market reflect the change in economic demand? A study on the industry-specific volatility spillover networks of China's stock market during the outbreak of COVID-19
Using the carefully selected industry classification standard, we divide 102 industry securities indices in China's stock market into four demand-oriented sector groups and identify demand-oriented industry-specific vola…