This study investigated the importance of shock and volatility dynamic transmissions in cross-market hedging and market risk evaluations. A trivariate asymmetric time-varying model is used to reveal the hidden dynamics price changes and volatility correlations among the selected Southeast Asian emerging markets after the Asian financial crisis. The results indicated that the equity markets are sharing the common information (shock) that transmitted among each other. Finally, the estimated dynamic volatility correlations are employed in various cross-market value-at-risk evaluations.
Key words: Multivariate ARCH, structural change, value at risk.
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