Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/100895
Authors: 
Racine, Marie D.
Ackert, Lucy F.
Year of Publication: 
1998
Series/Report no.: 
Working Paper, Federal Reserve Bank of Atlanta 98-14
Abstract: 
We use a multivariate generalized autoregressive heteroskedasticity model (M-GARCH) to examine three stock indexes and their associated futures prices: the New York Stock Exchange Composite, Standard and Poor's 500, and Toronto 35. The North American context is significant because markets in Canada and the United States share similar structures and regulatory environments. Our model allows examination of dependence in volatility as it captures time variation in volatility and cross-market influences. Estimated time-variation in volatility is significant, and the volatilities are highly positively correlated. Yet, we find that the correlation in North American index and futures markets has declined over time.
Subjects: 
Financial markets
Futures
Stock market
Document Type: 
Working Paper

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