Please use this identifier to cite or link to this item: http://ir.lib.seu.ac.lk/handle/123456789/7353
Title: Long-run volatility memory dynamics and inter-market linkages in GCC equity markets: application of DCC-FIGARCH models
Authors: Mohamed Riyath, Mohamed Ismail
Aldabbous, Nagham
Keywords: DCC
FIGARCH
GCC
Long-Run Memory
Spillovers
Volatility
Issue Date: 11-Nov-2024
Publisher: De Gruyter
Citation: Mohamed Ismail Mohamed Riyath; Nagham Aldabbous., Review of Middle East Economics and Finance, De Gruyter November 11, 2024.
Abstract: The study investigates volatility persistence, long-term memory and time-varying conditional correlations among the stock markets of the Gulf Cooperation Council (GCC) countries. Daily equity index data between 2012 and 2024 were analyzed using univariate fractionally integrated generalized autoregressive conditional heteroskedasticity (FIGARCH) models to examine long-memory behavior and multivariate dynamic conditional correlation (DCC) models to assess conditional correlations between these markets. For each of the GCC equity markets, the analysis highlighted large degrees of long-memory and volatility persistence. Finally, the DCC model shows that strong and dynamic Intermarket links among the GCC, especially between KSA and UAE, exist and reflect significant volatility spillover from good economic ties. This study fills the gap in the literature by providing a comprehensive understanding of long-run volatility memory and inter-market associations in the GCC stock markets.
URI: https://doi.org/10.1515/rmeef-2024-0018
http://ir.lib.seu.ac.lk/handle/123456789/7353
Appears in Collections:Research Articles

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