Spatial Multivariate GARCH Models and Financial Spillovers

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F23%3A10252993" target="_blank" >RIV/61989100:27510/23:10252993 - isvavai.cz</a>
Result on the web
<a href="https://www.mdpi.com/1911-8074/16/9/397" target="_blank" >https://www.mdpi.com/1911-8074/16/9/397</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.3390/jrfm16090397" target="_blank" >10.3390/jrfm16090397</a>

Result language
angličtina
Original language name
Spatial Multivariate GARCH Models and Financial Spillovers
Original language description
We estimate the risk spillover among European banks from equity log-return data via Conditional Value at Risk (CoVaR). The joint dynamic of returns is modeled with a spatial DCC-GARCH which allows the conditional variance of log-returns of each bank to depend on past volatility shocks to other banks and their past squared returns in a parsimonious way. The backtesting of the resulting risk measures provides evidence that (i) the multivariate GARCH model with Student's t distribution is more accurate than both the standard multivariate Gaussian model and the Filtered Historical Simulation (FHS), and (ii) the introduction of a spatial component improves the assessment of risk profiles and the market risk spillovers. (C) 2023 by the authors.
Czech name
—
Czech description
—

Type
J<sub>SC</sub> - Article in a specialist periodical, which is included in the SCOPUS database
CEP classification
—
OECD FORD branch
50200 - Economics and Business

Project
<a href="/en/project/GA23-07128S" target="_blank" >GA23-07128S: Market based measures of systemic risk using synthetic CDOs</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2023
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Similar results(10)