AI summary · arXiv: 2208.09148v1 · econ.EM
Understanding Volatility Spillover Relationship Among G7 Nations And India During Covid-19
The essentials
- Investigates interconnectedness and volatility transmission dynamics among G7 countries and India during COVID-19 pandemic
- Aims to understand changes in volatility spillover effects and time-varying conditional correlation between economies
- Employs bivariate BEKK and t-DCC (1,1) GARCH (1,1) models to assess volatility spillover effects
- Significant shifts in dynamics of volatility spillover between India and G7 countries before and during COVID-19
- Increase in conditional correlation among economies during the pandemic, indicating escalation in systematic risk
- Highlights heightened interconnectedness and potential contagion effects within financial markets
- Provides insights for asset managers and foreign corporations to improve investment decisions and implement effective hedging measures
- Valuable for financial regulators in assessing market risk during future crises similar to COVID-19
- Expands scope of analysis to include emerging markets & Asian countries, contributing towards a more comprehensive understanding of global financial interconnectedness
- Recognizes importance of information transfer through social media & other channels during crises.
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