Modelling and comperative analysis of volatility spillover between US, Czech Republic and Serbian stock markets
|Autor:||Mgr. Jelena Marković|
|Rok:||2015 - letní|
|Vedoucí:|| Mgr. Magda Pečená Ph.D.
|Typ práce:|| Diplomová
|Abstrakt:||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 autoregression
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.