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Modelling and comperative analysis of volatility spillover between US, Czech Republic and Serbian stock markets

MASTER THESIS MODELLING AND COMPARATIVE ANALYZES OF VOLATILITY SPILLOVER BETWEEN US, CZECH REPUBLIC AND SERBIAN STOCK MARKETS Abstract This paper estimates Serbian, Czech and US stock markets volatility. Few studies analyzed stock market linkages for these three markets. The mean equation is estimated using the vector auto- regression model. The second moments is further estimated using different multivariate GARCH models. We find that current conditional volatilities for each stock is highly affected by the past innovations. Cross-market correlations are significant as well. However, there is a higher conditional correlation between Czech and US stock market indices compared to the conditional correlation between Serbian and US stock indices.

Identiferoai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:347211
Date January 2015
CreatorsMarković, Jelena
ContributorsPečená, Magda, Adam, Tomáš
Source SetsCzech ETDs
LanguageEnglish
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/masterThesis
Rightsinfo:eu-repo/semantics/restrictedAccess

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