Volatility Spillover in the financial markets of Iran (Method of VAR-GARCH models)

Subject Areas : Financial engineering

soqra razi kazemi ¹ , gholamreza zomorodian ² , Ebrahim Chirani ³

1 - Department of financial management, Rasht Branch, Islamic Azad University, Rasht, Iran
2 - Department of Financial Management, central Tehran Branch, Islamic Azad University. Tehran, Iran and member of Modern Financial Risk Research Group
3 - Department of Business management, Rasht Branch, Islamic Azad University, Rasht, Iran

Received: 2020-10-20 Accepted : 2020-10-21 Published : 2021-03-21

Keywords: Financial Markets, VAR model, Spillover oscillations, MV GARCH model, Granger causality model,

Abstract :

The transfer of financial crises between different markets in a economy indicates the existence of channels of contagion. Parallel markets are closely linked to other markets in any economy. The channels of shocks and financial crises to other markets can include information, macroeconomic variables, investment behaviors, etc. in this study, the existence of volatility overflow between coin market, oil, currency and stock markets was investigated using monthly data during 2009 to 2017. the results indicate the existence of the fluctuations, as well as structural failures due to the existence of this overflow. Granger causality tests also confirmed the existence of causal links between financial markets. Between coin and currency markets, exchange and oil are two - way causality and between the oil and gold markets, exchange and the stock are one-way causality. in this study, the Granger causality tests, structural failure tests, the correlation of variance and other necessary tests were used