Volatility and Skewness Spillover Effects: Multiresolution Analysis
|Author:||Mgr. Ing. Lukáš Frýd|
|Year:||2020 - winter|
|Leaders:|| Mgr. Lukáš Vácha Ph.D.
|Work type:|| Finance, Financial Markets and Banking
|Awards and prizes:|
|Abstract:||The thesis investigates volatility and skewness spillover effects among
seven world stock indices and WTI oil under the assumption of the presence
of heterogeneous investors. The data sample covers the period from January
1990 to July 2016. The questions addressed in the thesis are twofold: firstly,
the dependency of the spillover effect for both the moments—volatility and
skewness—on different investments horizons is tested. Further, it is measured whether the inclusion of skewness into has an impact on the volatility
spillovers. The decomposition to the different investment horizons is performed by the wavelet transformation. Conditional volatility and skewness
were estimated by GAS model, which is capable to dynamize static parameters from Skewed t distribution.
Empirical results suggest significant spillover effects from both volatility and skewness. Another important result is that skewness has a nonsignificant impact on the volatility spillover effects. Further, it has been
found that spillover effects for both the moments are time-scale dependent:
the higher investment horizons are associated with higher spillover effects.
Additionally, our results support the evidence of the significant impact of
the financial crisis in 2008 on the structure of markets. From 2008, there are
stronger volatility and skewness spillover effects on the aggregated returns as
well as decomposed returns.