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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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  • Minović, J. 2007b. "Application of multivariate GARCH models in Serbian financial market analysis", Proceedings of International Conference, International Scientific Conference, Faculty of Economics, Belgrade, Serbia.
  • Minović J. Z. 2007c. "Multivariate GARCH models: Theoretical Survey and Model Application", M. Sc. Thesis. University of Belgrade, Faculty of Economics, Belgrade, Serbia.
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  • Tse, Y. K., and Tsui A. K. C. 1999. "A note on diagnosing multivariate conditional heteroscedasticity models". Journal of time series analysis 20 (6): 679-691.
  • Vogelvang, B. 2005. Econometrics: Theory and Applications with EViews. Prentice Hall.
  • Wang, M. and Yao Q. 2005. "Modelling multivariate volatilities: An ad hoc method".
  • Yang, W., David E. A. 2004. "Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures market". Accounting and Finance 45: 301-321.
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  • Official the Belgrade stock exchange web site
  • Brokerage web site

Document Type

Publication order reference

Identifiers

YADDA identifier

bwmeta1.element.doi-10_2478_v10033-010-0004-5
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