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Title: Volatility spillovers in Asian bond markets: comparative analysis using GARCH and wavelet methods
Author: Loh, Lixia
ISNI:       0000 0001 3612 2091
Awarding Body: University of Nottingham
Current Institution: University of Nottingham
Date of Award: 2008
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This thesis uses GARCH and wavelets methods to study the volatility spillovers from other financial markets into the Asian local currency bond markets. The cross-border analysis focuses on volatility spillover effects from the Japanese and US bond markets to the Asian bond market. The cross-market analysis focuses on the volatility spillover effects from the foreign exchange and stock markets to the Asian bond markets. We have shown that by using wavelets to derive volatility, the volatility spillovers can be captured more effectively than by using the more complex multivariate GARCH-based model. Three models, namely CCC EGARCH with residuals (Model 1), regression with wavelets (Model 2) and CCC EGARCH with wavelets (Model 3) were considered. Model 2 and Model 3 which use wavelets are found to perform better than the traditional GARCH with residuals model. However, our stress test shows that Model 2 is the least robust compared to Model 1 and Model 3 although it outperforms Model 1 and Model 3 in the in-sample forecast.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available