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Volatility Transmission Between European Stock Indices and the Tunisian TUNINDEX: A GARCH-BEKK Approach

This study examines volatility transmission between major European indices (CAC 40, DAX, FTSE MIB, IBEX 35, EURO STOXX 50) and Tunisia’s TUNINDEX amid global crises (2008 financial crisis, COVID-19, Russo-Ukrainian war). Using GARCH(1,1) and BEKK models, the analysis reveals low correlation and weak...

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Principais autores: Khalil Mhadhbi, Yossr Ghanmi
Format: Artigo
Sprog:Inglês
Udgivet: MDPI AG 2025-07-01
Serier:Computer Sciences & Mathematics Forum
Fag:
volatility transmission
TUNINDEX
European stock indices
GARCH models
BEKK model
Online adgang:https://www.mdpi.com/2813-0324/11/1/36
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