Abstract
This research seeks to offer a thorough investigation of the return and volatility spillover dynamics between DSEX and five financial assets from Gold, currency rates, energy, and stock indexes. Previous studies only used one econometric model to estimate the results, but this work used three well-known models for cross validation and also used portfolio weights and an optimal hedge to control risk. The DCC-GARCH technique is used to examine volatility spillovers, and the Quantile VAR and TVP-VAR frameworks are used to examine return spillovers. Surprisingly, three separate methodologies all provided equal results and arrived at the same conclusion. This study's findings corroborate the premise that these six components frequently exhibit considerable co-movement in futures trading. This paper illustrates that investors can greatly benefit by altering their portfolios based on the dynamic weights and hedge ratios, even if there is a trade-off amongst the degree of risk mitigation and portfolio revenue.
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