<abstract xml:lang="en" xmlns="http://www.w3.org/1999/xhtml"><p>This article presents an empirical calculation of volatility and co-movements for selected securities listed at the Belgrade Stock Exchange (www.belex.rs). It applied multivariate GARCH (MGARCH) models to the analysis of comovements in the Serbian frontier financial market. For the empirical work, bivariate and trivariate versions of the restricted BEKK, DVEC, and CCC models were used. Empirical results showed that MGARCH models overcome the usual concept of the time invariant correlation coefficient. Additionaly, the results show that the conditional variances and covariances between returns on the Serbian financial market exhibit significant changes over time.</p></abstract>

This article presents an empirical calculation of volatility and co-movements for selected securities listed at the Belgrade Stock Exchange (www.belex.rs). It applied multivariate GARCH (MGARCH) models to the analysis of comovements in the Serbian frontier financial market. For the empirical work, bivariate and trivariate versions of the restricted BEKK, DVEC, and CCC models were used. Empirical results showed that MGARCH models overcome the usual concept of the time invariant correlation coefficient. Additionaly, the results show that the conditional variances and covariances between returns on the Serbian financial market exhibit significant changes over time.

Empirical Analysis of Volatility and Co-movements in Serbian Frontier Financial Market: MGARCH Approach

Belgrade Banking Academy, Faculty for Banking, Insurance and Finance, Union University

South East European Journal of Economics and Business

This article presents an empirical calculation of volatility and co-movements for selected securities listed at the Belgrade Stock Exchange (www.belex.rs). It...

Empirical Analysis of Volatility and Co-movements in Serbian Frontier Financial Market: MGARCH Approach

Online veröffentlicht: 07. Juni 2011

Seitenbereich: 39 - 55

DOI: https://doi.org/10.2478/v10033-010-0004-5

Schlüsselwörter
Volatility, conditional covariance, multivariate GARCH models, maximum likelihood estimation, two-step estimation

This content is open access.

Empirical Analysis of Volatility and Co-movements in Serbian Frontier Financial Market: MGARCH Approach

Online veröffentlicht: 07. Juni 2011

Seitenbereich: 39 - 55

DOI: https://doi.org/10.2478/v10033-010-0004-5

SchlüsselwörterVolatility, conditional covariance, multivariate GARCH models, maximum likelihood estimation, two-step estimation

This content is open access.

Schlüsselwörter
Volatility, conditional covariance, multivariate GARCH models, maximum likelihood estimation, two-step estimation