Volatility Spillover between Oil Price, Exchange Rates, Gold Price and Stock Market Indexes with Structural Breaks

Subject Areas : Financial engineering

elaheh sefidbakht ¹ , Mohammad Hossein Ranjbar ^{2 *}

1 - M.A Student of Finance, Department of Finance, High Education Institute of Qeshm, Hormozgan, Iran
2 - Assistance Professor of Finance,Department of Management And Accounting, Faculty of Humanities, Islamic Azad University, Bandar Abbas Branch,Hormozgan, Iran

Received: 2017-07-05 Accepted : 2017-08-17 Published : 2017-12-22

Keywords: VAR, GARCH Model, volatility spillovers, BEKK, Granger causality, structural breaks, ICSS algorithm,

Abstract :

Volatility spillovers among financial indices, indicates the process is the transfer of information between markets. Given that financial markets are connected, Ayjad information in one market can affect other markets. In the meantime, modeling the volatility of returns in different markets and communicate with each other from the perspective of these markets Supplier Institute academics and financial area, to be used in the prediction, the matter of It results in. In this study, the tiny fluctuations in oil markets, currencies, gold and stock model BEKK bivariate GARCH, without the use of structural failure and also with regard to the use of the algorithm ICSS and model VAR, tested and the relationship between them through Granger causality test was carried out. The results show that if the calculation of structural failure in the equation disregard, changes in exchange rates on the price of oil does not have the price of gold and stock index has a significant effect, in this case oil price changes on any of the variables studied has no effect. On the other hand, gold price changes can affect stock index and stock changes can also affect the exchange rate. But when the failure of structural equations is used will be different results.