Investigating the Volatility Spillover Effects in the Food Industry Index and Parallel Markets Comparison of VAR-BEKK-GARCH and Simultaneous Equations

Subject Areas : Agricultural Economics Research

Masoume Mohamadnasab Chemazi ¹ , Foad Eshghi ^{2 *} , ُSeyed Mojtaba Mojaverian ³ , Seyede Samira Kamalmousavi ⁴

1 - Master's degree student, Department of Agricultural Economics, Faculty of Agricultural Engineering, Sari University of Agricultural Sciences and Natural Resources, Mazandaran, Iran
2 - Assistant Professor, Department of Agricultural Economics, Faculty of Agricultural Engineering, Sari University of Agricultural Sciences and Natural Resources, Mazandaran, Iran
3 - استاد
4 - PhD candidate, Department of Agricultural Economics, Faculty of Agricultural Engineering, Sari University of Agricultural Sciences and Natural Resources, Mazandaran, Iran

Received: 2025-03-16 Accepted : 2025-05-21

Keywords: Coin Price Volatility, Exchange Rate Volatility, GARCH Models, Financial Volatility Analysis,

Abstract :

This study examines volatility spillovers among Iranian financial markets using the VAR-BEKK model and introduces the simultaneous equations of the GARCH system. The findings indicate a reciprocal influence between the volatility of the food industry index and the total stock index. Additionally, coin market fluctuations have a significant positive impact on exchange rate volatility, while the food industry index volatility strongly affects the  volatility of the total stock index. Model comparisons show that the simultaneous equations GARCH system provides a more precise framework for analyzing volatility spillovers across markets compared to VAR-BEKK. The results suggest that the VAR-GARCH-BEKK model alone is not sufficiently reliable for capturing spillover effects and should be complemented with structural approaches such as simultaneous equations. These insights contribute to a deeper understanding of market interactions and offer valuable implications for risk management and financial policymaking, particularly in designing strategies to stabilize markets.

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