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2010 | 5 | 1 | 39-55
Article title

Empirical Analysis of Volatility and Co-movements in Serbian Frontier Financial Market: MGARCH Approach

Authors
Title variants
Languages of publication
EN
Abstracts
EN
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.
Publisher
Year
Volume
5
Issue
1
Pages
39-55
Physical description
Dates
published
2010-04-01
online
2011-06-07
Contributors
  • Belgrade Banking Academy, Faculty for Banking, Insurance and Finance, Union University
References
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Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.doi-10_2478_v10033-010-0004-5
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