Modelling Volatility Spillover Effects

Abstract

The main goal of this thesis is to investigate, compute and interpret volatility spillover effect in selected European developed stock markets using extended autoregressive conditional volatility models. In particular, there is modelled an impact of volatility coming from US and Eurozone stock markets. For the purpose of this thesis, we utilize daily returns of US, Eurozone, German, French, British and Swiss stock markets covering the period from January 2003 to August 2017. All the stock markets is approximated by main stock indexes. The main goal of this thesis is supported by two sub-goals: the first sub-goal is to model and measure the price spillover effect using VAR models; the second sub-goal is to investigate an impact of global financial crisis on volatility spillover effects. Results confirmed significant impact of the price and volatility spillover effect coming from the US stock market. This effect increased during the global financial crisis.