| Summary: | 碩士 === 中原大學 === 企業管理研究所 === 102 === In the past, most of the studies were to evaluate food with,oil and stock indexes, few explored the ETF volatility and contagion effect on steel, coal and natural gas. The study began with volatility transmission point of view, it used the multivariate GARCH model to analyze changes in volatility and ETF returns in the New York Stock Exchange in the steel, coal and natural gas ETF as of 6 samples tested. Through constructing the multivariate volatility models to estimate the volatility and related impact of sequence heterogeneity, this study used a Unit Root Test (ADF) for examining a stationary analysis, seeking the optimum model.The paper user the minimum of Akaike information criterion (AIC) to detect auto-regressive conditional heteroskedasticity- ARCH and GARCH existence effect. To analyze the relationship between short-term and long-term returns of coal, natural gas and for steel ETF among various markets.
This paper used diagonal Baba, Engle, Kraft and Kroner (BEKK), Constant Conditional Correlation (CCC), and Dynamic Conditional Correlation (DCC), and compared the differences between the various models to completely determine the most appropriate model steel, coal, natural gas ETFs.
This study found the volatility contagion effect on steel, coal and natural gas prices related ETF. It reflected the interaction among them. Perhaps the short-term market will be differently affected by the influence of supply and demand. It has a stable equilibrium relationship in the long run. Asset return volatility follows the change of time and environment,while Exchange-Traded Funds (ETF) will have the clustering of volatility in different markets or assets following the change of time or environment.
Using three of multivariate MGARCH model, that is CCC, DCC,and BEKK model. This study found that the goodness of fit for the constant conditional correlation (CCC) model was better than the dynamic conditional correlation (DCC). We also found in the CCC model of steel and coal ETF,while most of the ARCH (α) and all the GARCH (β) are strong and significant fluctuations in the effect of cross-volatility spillovers.
During the 2007-2008 financial crisis, due to a substantial rise in oil prices, it enlarged volatility of the raw material prices, investors and consumers face the risk of price fluctuations. Therefore, the results the relation between various volatility to determine whether there exist the effect of volatility transmission, cam be as a reference for investors or hedgers to make their investment strategy.
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