and CRB Index). Employing the diagonal BEKK model and the DCC GARCH model, the study spans data from February 17, 2020, to …

market sectors for optimum return. Additionally, the study found that the BEKK model is better for risk-return optimization …

Using a diagonal BEKK model, this paper estimates a spillover effect from the international crude oil market to the …

, COVID-19, and the Russian-Ukraine war. We employ the Diagonal BEKK model and find that the co-volatility spillover effects …

Purpose - The study uses the multivariate GARCH-BEKK model (which was first proposed by Baba et al. (1990) and then …) equity markets. Design/methodology/approach - The study employs a multivariate GARCH-BEKK model to quantify return … (slowdown). However, the multivariate GARCH (MGARCH)-BEKK model showed a clear reduction in volatility transmission to NIFTY50 …

Purpose - The study uses the multivariate GARCH-BEKK model (which was first proposed by Baba et al. (1990) and then …) equity markets. Design/methodology/approach - The study employs a multivariate GARCH-BEKK model to quantify return … (slowdown). However, the multivariate GARCH (MGARCH)-BEKK model showed a clear reduction in volatility transmission to NIFTY50 …

comprises of Granger Causality Test, Vector Auto Regression (VAR) model, and GARCH BEKK model. Asian stock markets were worst …

, COVID-19, and the Russian-Ukraine war. We employ the Diagonal BEKK model and find that the co-volatility spillover effects …

energy prices by considering three energy commodities, including oil, gas, and coal. The asymmetric BEKK model is employed …