论文标题
了解Covid-19期间G7国家和印度之间的波动性溢出关系
Understanding Volatility Spillover Relationship Among G7 Nations And India During Covid-19
论文作者
论文摘要
目的：在2020 - 21年共同流行的背景下，本文试图捕获互连性和波动性传递动力学。研究了七国集团和印度的波动性溢出效应和随时间变化的条件相关性的变化的性质。方法论：为了评估挥发性溢出效应，已经使用了双变量BEKK和T-DCC（1,1）GARCH（1,1）模型。我们的研究表明，印度和G7国家之间的波动性溢出动态如何在COVID-19之前和期间发生变化。研究结果：研究结果表明，与前环境环境相比，在共同环境中，波动率溢出的程度发生了变化。在这个大流行期间，条件相关性的急剧增加表明国家之间系统风险的增加。独创性：这项研究有助于更好地了解G7国家和印度之间波动性溢出的动态。资产经理和外国公司可以使用不断变化的溢出动力来改善投资决策并实施有效的对冲措施来保护其利益。此外，这项研究将有助于金融监管机构评估未来的市场风险，因为诸如Covid-19之类的危机。
Purpose: In the context of a COVID pandemic in 2020-21, this paper attempts to capture the interconnectedness and volatility transmission dynamics. The nature of change in volatility spillover effects and time-varying conditional correlation among the G7 countries and India is investigated. Methodology: To assess the volatility spillover effects, the bivariate BEKK and t- DCC (1,1) GARCH (1,1) models have been used. Our research shows how the dynamics of volatility spillover between India and the G7 countries shift before and during COVID-19. Findings: The findings reveal that the extent of volatility spillover has altered during COVID compared to the pre-COVID environment. During this pandemic, a sharp increase in conditional correlation indicates an increase in systematic risk between countries. Originality: The study contributes to a better understanding of the dynamics of volatility spillover between G7 countries and India. Asset managers and foreign corporations can use the changing spillover dynamics to improve investment decisions and implement effective hedging measures to protect their interests. Furthermore, this research will assist financial regulators in assessing market risk in the future owing to crises like as COVID-19.
