The Volatility of Market Returns: A Comparative Study of Emerging versus Mature Markets

@inproceedings{Fayyad2010TheVO,
  title={The Volatility of Market Returns: A Comparative Study of Emerging versus Mature Markets},
  author={Abdallah Fayyad and Kevin James Daly},
  year={2010}
}
This paper will examine the volatility of markets returns, dynamic conditional covariance and dynamic conditional correlation between the equity markets of developed countries (US and UK) and the equity markets of developing countries (Kuwait and United Arab Emirates). A multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) model will be used; Diagonal VEC (DVEC) - MGARCH to identify the source and magnitude of volatility. The results will show the relation between the… CONTINUE READING

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