Wavelet-based multi-resolution GARCH model for financial spillover effects

研究成果: Article同行評審

24 引文 斯高帕斯(Scopus)

摘要

This study proposes a wavelet-based multi-resolution BEKK-GARCH model to investigate spillover effects across financial markets. Compared with traditional multivariate GARCH analysis, the proposed model can identify or decompose cross-market spillovers on multiple resolutions. Taking two highly correlated indices, the NASDAQ (U.S.) and TWSI (Taiwan composite stock index) for analysis, the empirical results show that the NASDAQ returns strongly predict the movements of TWSI on the raw data level, but via wavelet-based multi-resolution analysis we find that the prediction power unevenly spreads over each time scale, and the spillover patterns are totally different as that revealed on the raw data level. The direction and magnitude of return and volatility spillovers significantly vary with their time scales. Considering the fact that heterogeneous groups of investors trade on different time horizons, the results of this study help investors to uncover the complex pattern of return and volatility spillovers on their own horizon, and make a good hedge on their risk.

原文English
頁(從 - 到)2529-2539
頁數11
期刊Mathematics and Computers in Simulation
81
發行號11
DOIs
出版狀態Published - 2011 七月 1

All Science Journal Classification (ASJC) codes

  • Theoretical Computer Science
  • Computer Science(all)
  • Numerical Analysis
  • Modelling and Simulation
  • Applied Mathematics

指紋 深入研究「Wavelet-based multi-resolution GARCH model for financial spillover effects」主題。共同形成了獨特的指紋。

引用此