Abstract
The empirical results show that the dynamic conditional correlation (DCC) and the bivariate AGARCH (1, 2) model appropriates in evaluating the relationship of the Italy and the Germany's stock markets. The empirical result also indicates that the Italy and the Germany's stock markets is a positive relation. The average estimation value of correlation coefficient equals to 0.878, which implies that the two stock markets is synchronized influence. Besides, the empirical result also shows that the Italy's and Germany's stock markets do have an asymmetrical effect. The return volatility of the Italy's and Germany's stock markets receives the influence of the positive and negative of the Canada's stock return volatilities, and the variation risks of the Italy's and Germany's stock market returns also receives the influence of the Canada's stock return volatilities. The explanation ability of the bivariate AGARCH (1, 1) is better than the bivariate IGARCH (1, 1) model.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
