Minović, Jelena (2010) Empirical analysis of volatility and co-movements in Serbian frontier financial market : MGARCH approach. South East European journal of economics and business, 5 (1). pp. 39-55. ISSN 1840-118X
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This article presents an empirical calculation of volatility and co-movements for selected securities listed at the Belgrade Stock Exchange (www.belex.rs). It applied multivariate GARCH (MGARCH) models to the analysis of comovements in the Serbian frontier financial market. For the empirical work, bivariate and trivariate versions of the restricted BEKK, DVEC, and CCC models were used. Empirical results showed that MGARCH models overcome the usual concept of the time invariant correlation coefficient. Additionaly, the results show that the conditional variances and covariances between returns on the Serbian financial market exhibit significant changes over time.
| Item Type: | Article |
|---|---|
| Additional Information: | COBISS.ID=1024374416 |
| Uncontrolled Keywords: | volatility, conditional covariance, multivariate GARCH models, maximum likelihood estimation, two-step estimation |
| Research Department: | Macroeconomics Other |
| Depositing User: | Jelena Banovic |
| Date Deposited: | 22 Sep 2016 18:29 |
| Last Modified: | 18 May 2020 18:58 |
| URI: | http://ebooks.ien.bg.ac.rs/id/eprint/707 |
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