EMPIRICAL ANALYSIS OF THE CAUSAL RELATIONSHIPS OF SPILLOVERS IN THE VOLATILITY OF THE S&P-500 INDEX
DOI:
https://doi.org/10.35774/jee2024.02.192Keywords:
spillover of volatility; Granger causality; GARCH (1,1) model; S&P-500 index; conditional volatility.Abstract
The volatile nature of the relationship between the stock index and the stocks which stand for it, is revealed. The directions of volatility spillovers are studied in the context of the transformation of causal relationships. The article analyses the interrelationships and volatility spillovers between the S&P-500 index and the shares of META and GOOG (technology sector), JPM and BAC (financial sector), MRO and OXY (oil and gas sector), which are included in the index. The research methodology is based on the GARCH (1,1) model, which allows considering the development of variance over time and the dynamics of conditional volatility of time series. The identified interdependencies are focused on forecasting volatility spillover shocks from the S&P 500 to stocks and vice versa.
JEL: С58, G17, G10, G12.
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