EMPIRICAL ANALYSIS OF THE CAUSAL RELATIONSHIPS OF SPILLOVERS IN THE VOLATILITY OF THE S&P-500 INDEX
Анотація
The volatile nature of the relationship between the stock index and the stocks which stand for it, is revealed. The directions of volatility spillovers are studied in the context of the transformation of causal relationships. The article analyses the interrelationships and volatility spillovers between the S&P-500 index and the shares of META and GOOG (technology sector), JPM and BAC (financial sector), MRO and OXY (oil and gas sector), which are included in the index. The research methodology is based on the GARCH (1,1) model, which allows considering the development of variance over time and the dynamics of conditional volatility of time series. The identified interdependencies are focused on forecasting volatility spillover shocks from the S&P 500 to stocks and vice versa.
Класифікація
Ідентифікатори
Рецензії (0)
Написати рецензіюРецензій ще немає. Будьте першим!
Схожі роботи
Economic and Environmental Performance of Post-Communist Transition Economies
Схоже за: Energy, Environment, and Transportation Policies · Market Dynamics and Volatility · Energy, Environment, Economic Growth
ANALYSIS OF COINTEGRATION AND CAUSALITY BETWEEN INDICATORS OF ECONOMIC GROWTH AND ENERGY EFFICIENCY OF EUROPEAN COUNTRIES
Схоже за: Energy, Environment, and Transportation Policies · Market Dynamics and Volatility · Energy, Environment, Economic Growth
On the correlation between GDP and energy consumption in macroeconomic development
Схоже за: Energy, Environment, and Transportation Policies · Market Dynamics and Volatility · Energy, Environment, Economic Growth
Regression Analysis of the Impact of Foreign Direct Investments, Adjusted Net Savings, and Environmental Tax Revenues on the Consumption of Renewable Energy Sources in EU Countries
Схоже за: Energy, Environment, and Transportation Policies · Energy, Environment, Economic Growth
Managing the EU energy crisis and greenhouse gas emissions: Seasonal ARIMA forecast
Схоже за: Energy, Environment, and Transportation Policies · Energy, Environment, Economic Growth
ECONOMIC ANALYSIS OF ENERGY EFFICIENCY OF CHINA'S AND INDIA'S NATIONAL ECONOMIES
Схоже за: Energy, Environment, and Transportation Policies · Energy, Environment, Economic Growth