The Independence of Indexed Volatilities
| Autor: | Tumellano Sebehela, Katlego Kola |
|---|---|
| Rok vydání: | 2021 |
| Předmět: |
050208 finance
Markov chain Bond InformationSystems_INFORMATIONSTORAGEANDRETRIEVAL 05 social sciences Real estate Vector autoregression Stock exchange 0502 economics and business Economics Econometrics 050207 economics Volatility (finance) Emerging markets GeneralLiterature_REFERENCE(e.g. dictionaries encyclopedias glossaries) Independence (probability theory) |
| Popis: | Studies on indexed volatility spillovers are unique because indices encompass more information than other parameters used in illustrating volatility movements. Further, indices encompass most of the constituents listed on different stock exchanges around the globe. This chapter uses vector autoregression (VAR) for volatility spills and the Markov regime switching model to understand how different volatility regimes behave among bonds, commodities, equities and real estate indices of emerging markets. The results illustrate that volatility spillovers occur within (same) indices and across different indices. Moreover, those spillovers are within and across emerging countries. Interestingly, illiquid indices in certain situations move in between different volatility regimes more than liquid indices. Volatility strategies emanating from this study are equally applicable to both sell and buy sides in securities markets. |
| Databáze: | OpenAIRE |
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