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Indices boursiers internationaux et la crise des nouvelles technologies : approches switching et DCC-MVGARCH

Abstract : Since the New Technology crisis of the year 2000 and the big rise in the volatility of stock markets across the world with respect to before the year 2000, the modelling of this volatility and its contagion effect across stock markets in the world, has drawn many discussions and research on this subject. As a consequence, we model the volatility of three technological indexes : NASDAQ-100, IT.CAC and NEMAX and five global indexes : Dow Jones Industrial Average, Standard & Poor 500, NASDAQ Composite, DAX and CAC40, in order to check if the investment risk, measured using the value at risk (VaR), has changed following the New Technology crisis. We also show that the New Technology crisis, among all the other stock market crises, is the one that affected the most, stock markets across the world. Our calculation of the VaR requires a precise modelling of the examined series' volatility and the identification of the presence of dynamic conditional correlations or not. We use different models to estimate this volatility, in particular, changing regime models (SWARCH, SWGARCH and MSVECM) and a dynamic conditional correlation multivariate GARCH model (DCC-MVGARCH). We use the switching regime models and VAR models in order to show the existence of co-mouvement and contagion effects between the eight indexes. Then, we use the CC-MVGARCH model in order to show the effect of the New Technology crisis on the rise in stock markets' volatility and the presence of dynamic conditional correlations that link those major indexes, in addition to its use for the VaR calculation. Finally, we compare the DCC-MVGARCH VaR with the VaR calculated using the non-parametric method of copulas.
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Submitted on : Wednesday, June 11, 2008 - 4:19:26 PM
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  • HAL Id : tel-00287357, version 1


Ryan Lemand (suleimann). Indices boursiers internationaux et la crise des nouvelles technologies : approches switching et DCC-MVGARCH. Economies et finances. École normale supérieure de Cachan - ENS Cachan, 2003. Français. ⟨tel-00287357⟩



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