Interdependence And Forecasting Of S&P500, Oil, Euro / Dollar And 10-Year U.S. Interest Rate Markets: An Attempt Of Modelling Through The Volatility

Interdependence And Forecasting Of S&P500, Oil, Euro / Dollar And 10-Year U.S. Interest Rate Markets: An Attempt Of Modelling Through The Volatility

We observe from the late 1990s an increasing phenomenon of volatility on these following markets: Oil (WTI price), Foreign Exchange (nominal Euro/Dollar), Stock Market (S&P 500 Index) and Bond market (U.S.10-Year). After seizing the concept of volatility and overcoming its first definition of ri...

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Bibliographic Details
Main Authors: Ahmed KSAIER, Isabelle CRISTIANI-D’ORNANO
Format: Article
Language:English
Published: Sciendo 2010-12-01
Series:Review of Economic and Business Studies
Subjects:
We observe from the late 1990s an increasing phenomenon of volatility on these following markets: Oil (WTI price)
Foreign Exchange (nominal Euro/Dollar)
Stock Market (S&P 500 Index) and Bond market (U.S.10-Year). After seizing the concept of volatility and overcoming its first definition of risk measure
we have evaluated their interdependencies from a VAR model
we have investigated the presence of long memory phenomenon in these series and we have carried out their forecasted trajectories from FIGARCH model. This paper is presented as follows: Section 1 opens on a definition of the volatility
Section 2 examines the interdependence of the studied markets
Section 3 provides a FIGARCH model in order to capture the dynamics and predict future market volatilities changes and Section 4 concludes."
Online Access:http://rebs.ro/resource/Rebs_6/Research%20Paper/KSAIER,%20A,%20CRISTIANI-DORNANO,I-INTERDEPENDENCE%20AND%20FORECASTING%20OF%20SP500.pdf

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http://rebs.ro/resource/Rebs_6/Research%20Paper/KSAIER,%20A,%20CRISTIANI-DORNANO,I-INTERDEPENDENCE%20AND%20FORECASTING%20OF%20SP500.pdf

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