TVP-VAR Based Carr-Volatility Connectedness: Evidence From The Russian-Ukraine Conflict

Basit Öğe Kaydı
dc.contributor.authorArı, Yakup
dc.date.accessioned2023-06-08T11:11:23Z
dc.date.available2023-06-08T11:11:23Z
dc.date.issued2022
dc.departmentALKÜ, Fakülteler, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü
dc.description.abstractThis paper aims to examine the spillover between volatilities obtained from the Conditional Autoregressive Range (CARR) process with the Time-Varying Parameter Vector Autoregressive (TVP-VAR) based Diebold-Yilmaz approach. We apply Gumbel distributed CARR (1,1) to estimate the volatilities. The summary statistics for the volatility series indicate that the series are not normally distributed, and innovations fit the Gumbel distribution. Also, the obtained volatility series are stationary. We also observe that a significant autocorrelation emerges in all series and the square series. Therefore, using a TVP-VAR model with a time-varying variance-covariance structure is a proper econometric framework to capture all these empirical properties. Moreover, we investigate the impact of the Ukraine-Russia Conflict on global markets as an example. For this purpose, we consider the Russian stock market index and indices selected from among the twenty largest stock exchanges by asset size to perform the connectedness analysis. In TVP-VAR based connectedness approach, we calculate averaged connectedness measures of two panels, without and with the Russian stock exchange. The findings show that the total connectedness index is 79.91% in the first panel, and it increases to 81.44% with the addition of Russian market.
dc.identifier.doi10.30784/epfad.1138999
dc.identifier.endpage607en_US
dc.identifier.issue3en_US
dc.identifier.startpage590en_US
dc.identifier.urihttps://search.trdizin.gov.tr/tr/yayin/detay/1133612/tvp-var-based-carr-volatility-connectedness-evidence-from-the-russian-ukraine-conflict
dc.identifier.urihttps://hdl.handle.net/20.500.12868/2223
dc.identifier.volume7en_US
dc.indekslendigikaynakTR-Dizin
dc.language.isoen
dc.relation.ispartofEkonomi, Politika & Finans Araştırmaları Dergisi (Sosyal)
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectC11
dc.subjectC22
dc.subjectD53
dc.subjectG17
dc.titleTVP-VAR Based Carr-Volatility Connectedness: Evidence From The Russian-Ukraine Conflict
dc.typeArticle

Dosyalar

Orijinal paket
Listeleniyor 1 - 1 / 1
Küçük Resim
Ä°sim:
document - 2023-06-07T144539.934.pdf
Boyut:
838.24 KB
Biçim:
Adobe Portable Document Format
Açıklama:
Tam Metin / Full Text
Ä°ndir
Lisans paketi
Listeleniyor 1 - 1 / 1
[ X ]
Ä°sim:
license.txt
Boyut:
1.44 KB
Biçim:
Item-specific license agreed upon to submission
Açıklama:
Ä°ndir

Koleksiyon

TR-Dizin İndeksli Yayınlar Koleksiyonu