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On Univariate and Multivariate GARCH Models: Oil Price and Stock market returns volatilities

Amine Guerouah, Halim Zeghdoudi, Fatima Zohra Bouseba


This paper investigates the empirical properties of oil price and Stock market return volatilities using a range of univariate and multivariate GARCH models and monthly data from the U.S. The study relates the period August 1987 to October 2016, a total of 351 observations given. The aim of this paper is to examine the relationship between stock and oil markets. In addition, we evaluate the performance of each model with a range of diagnostic and forecast performance tests using univariate GARCH(1,1) and bivariate BEKK GARCH(1,1), DCC GARCH(1,1) models.


GARCH models, Volatility, energy prices, Stock prices and Crude oil.

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