Journal of Risk Model Validation
ISSN:
1753-9579 (print)
1753-9587 (online)
Editor-in-chief: Steve Satchell
The use of range-based volatility estimators in testing for Granger causality in risk on international capital markets
Need to know
- Range-based volatility estimators combined with GARCH model and peaks over threshold approach
- Regulator’s and firm’s loss functions and Diebold-Mariano test as criteria of the models’ comparison
- Causality in risk analysis among emerging and developed stock markets using different volatility models
- Risk spillovers from emerging to developed markets more intensive in turbulent periods
Abstract
This study utilizes the extreme value theory (EVT) approach to compare the performance of a wide variety of range-based volatility estimators in the analysis of causality in risk between emerging and developed markets. The AR(1)-GARCH(1,1) model with t-distribution is used as a benchmark. Regulator and firm loss functions are used to select the best volatility model. Two tests of causality in risk are used in our empirical study. The AR-GARCH model with EVT outperforms the other approaches in the case of huge risk. Among the most likely risk-taking markets are Standard & Poor's 500, CAC 40, Nikkei 225, Nasdaq and FTSE 100.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
