Non-stationary Variance and Volatility Causality

This paper aims to describe bias estimates when non-stationary variance is not detected. We first present a theoretical multivariate GARCH model with structural changes in variance. Then we describe the non-stationary variance and Volatility Causality in the case of the US and the three developed Asian stock markets Japan, Hong Kong and Singapore. Daily data are used for the period May 30th 2002 until June 29th 2010.

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Year of publication:	2010
Authors:	Bensafta, Kamel malik
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 30.2010, 4, p. 2920-2935
Publisher:	AccessEcon
Subject:	Multivariate GARCH \| Non linear VAR \| Mean spillover \| Volatility spillover \| Structural break in variance \| Market Co-movement

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	G1 - General Financial Markets ; C5 - Econometric Modeling
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008692038