Many factors are effective in forming information and volatility transmission among financial indices and some of these factors are the result of internal factors and some are due to conditions of the variables out of internal economical range. Among all these factors, oil global price as a powerful exogenous variable can affect most of macro-economic variables such as Stock price index. The current study has investigated volatility transmission among Tehran Stock Exchange index, Dubai stock index and oil global price index using three models of multivariate GARCH within time span from Dec 2006 to Jan 2010. Data used were daily and models used are VEC, BEKK, and CCC which are mostly used in financial studies and researches and have powerful theoretical bases. The result of estimation in different models generally shows volatility transmission from oil global market to Tehran and Dubai markets. Volatility transmission from Dubai market to Tehran was meaningfully observed as well. However, the effect of transmission was not observed in reverse direction.
Seyedhosseini,S M and ebrahimi,S B . (2013). Modeling and Evaluation of Volatility Transmission Using Multivariate GARCH، Case study: Iran, Emirates, Oil Global Price Index. Quarterly Journal of Securities Exchange, 6(21), 64-137.
MLA
Seyedhosseini,S M , and ebrahimi,S B . "Modeling and Evaluation of Volatility Transmission Using Multivariate GARCH، Case study: Iran, Emirates, Oil Global Price Index", Quarterly Journal of Securities Exchange, 6, 21, 2013, 64-137.
HARVARD
Seyedhosseini S M, ebrahimi S B. (2013). 'Modeling and Evaluation of Volatility Transmission Using Multivariate GARCH، Case study: Iran, Emirates, Oil Global Price Index', Quarterly Journal of Securities Exchange, 6(21), pp. 64-137.
CHICAGO
S M Seyedhosseini and S B ebrahimi, "Modeling and Evaluation of Volatility Transmission Using Multivariate GARCH، Case study: Iran, Emirates, Oil Global Price Index," Quarterly Journal of Securities Exchange, 6 21 (2013): 64-137,
VANCOUVER
Seyedhosseini S M, ebrahimi S B. Modeling and Evaluation of Volatility Transmission Using Multivariate GARCH، Case study: Iran, Emirates, Oil Global Price Index. Quarterly Journal of Securities Exchange. 2013;6(21):64-137 (In Persian).
