CeMEAI

World Financial Contagion analysis under DCC-GARCH modelling

Diego Nascimento, ICMC/USP This paper aimed to promote the use of the Dynamic Conditional Correlation GARCH (DCC-GARCH) mutation model, by using a Monte Carlo approach via Markov chains in the estimation of parameters, as well as visually demonstrate this time-dependence variation. The empirical reflection fell on some aspects that explain the relationship between the indexes…