چکیده:
Risk spillover between financial assets indicates the process of information transfer between markets. Financial markets are related, information created in one market can affect other markets. Risk modeling in different markets and the relationship between these markets are important for forecasting. The purpose of this paper was to investigate the spillover and dynamics of risk between commodity markets, financial markets and digital currencies using the multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) method in the period 2020-2014 with the frequency of daily data. The results of this study indicate the spillover of fluctuations between financial markets and the ratio of dollar to euro and bitcoin had a negative and significant relationship with each other, but other financial assets had a positive and significant relationship in terms of returns and fluctuations. Additionally the stability, the trend of changes in oil and gold prices leads to an important relationship between returns and strengthens the transfer of risk between the foreign exchange market, virtual money, oil and gold. Finally, the research model shows the intensity of contagion between financial markets in the context of small and large shocks, which indicates the existence of asymmetric effects on risk overflow between important financial markets.
خلاصه ماشینی:
Risk Spillovers and Dynamics between Financial Markets, Commodity Markets, and Digital Currencies using the MGARCH Model Approach Hamid Mohammadi Shad 1 Date Received: 2020/09/11 Date Accepted: 2020/12/26 Mehdi Madanchi Zaj 2 Amirreza Keyghobadi 3 Abstract Risk spillover among financial assets indicates the process of information transfer between markets.
The aim of this article is to investigate the existence of risk spillover and dynamics between commodity markets, financial markets, and digital currencies using the Multivariate Generalized Autoregressive Conditional Heteroskedasticity (MGARCH) method during the period 2014-2020 with daily data frequency.
The distinguishing feature of this research compared to previous studies is that it examines the spillover and transmission of fluctuations between digital currencies, financial markets (USD-EUR exchange rate), and important commodity markets such as gold and oil.
476 Research Methodology In order to examine the spillover and transmission of fluctuations between digital currencies, financial markets (USD-EUR exchange rate), and important commodity markets such as gold and oil, the DCC-MGARCH model has been used.
Table 5: Estimation of the mean equation of the research variables (Refer to the page image) Given that the goal of this study is to investigate the risk contagion of financial markets, Multivariate GARCH models have been used.
The GARCH component coefficient of the model indicates that risk and volatility in the currency, oil, gold, and Bitcoin sectors have had, respectively, the greatest impact on the transmission of risk in financial markets.
(
, 
, 
)
