Earticle

초록

영어

This study considers the impact of sudden changes on volatility spillover effect in Japanese financial markets, the Japanese Yen (JPY) and Nikkei 225 index. Specifically, we examine the degree of volatility transmission allowing for sudden changes in variance. An iterated cumulative sums of squares algorithm is used to identify the time points at which sudden changes in volatility occurred, and the results are incorporated into the bivariate GARCH-BEKK framework with and without sudden change variables. The degree of persistence of volatility was reduced by incorporating these sudden changes into the volatility model. In addition, our results indicate that ignoring sudden changes might overestimate the degree of information inflow and volatility transmission between Japanese financial markets. Consequently, accounting for sudden changes reduces volatility persistence and removes the volatility spillover effect in Japanese financial markets.

목차

Abstract
 1. Introduction
 2. Literature review
 3. Methodology
  3.1. Detecting points of sudden change in variance
  3.2. Univariate GARCH(1,1) model with sudden change dummies
  3.3. Bivariate GARCH(1,1) model
 4. Data and descriptive statistics
 5. Empirical results
  5.1. Sudden changes in variance
  5.2. Univariate GARCH model with and without sudden changes
  5.3. Information flow and volatility transmission between Japanese financial markets
 6. Conclusions
 References

키워드

저자

• Seong-Min Yoon [ Department of Economics Pusan National University ]
• Sang Hoon Kang [ School of Business Administration Pusan National University ] Author for Correspondence

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330