An analysis of major Moroccan domestic sectors interdependencies and volatility spillovers using multivariate GARCH models

摘要

This paper tries to give a thorough analysis of the mechanisms of volatility spillovers, as well as, a study of the time-varying interdependencies of volatilities of seven major sectors of the Moroccan stock exchange by proposing an empirical approach based on multivariate GARCH models. It uses daily data spanning the period between 02/07/2007 and 15/12/2016, covering seven principal sectors indices. The results of the study confirm the existence of multiple volatility transmissions in both ways and of both signs between sectors of our sample, along with, the quasi-abundance of positive correlations suggesting possible contagion effects. More importantly, our findings are in line with those discovered in the U.S financial market. The notoriety of this paper resides in the fact that it broadens previously documented studies focusing mainly on external shocks by providing a study of internal shocks while applying two multivariate GARCH models.