s
masoud saadatmehr; ali Younessi; Davood Shiran
Abstract
The present study has investigated the correlation of volatility between stock, oil and gas markets in Iran and its impact on the country's economic growth. In this regard, the method of constant conditional correlation analysis (CCC) of the autoregressive model conditional on heterogeneity of multivariate ...
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The present study has investigated the correlation of volatility between stock, oil and gas markets in Iran and its impact on the country's economic growth. In this regard, the method of constant conditional correlation analysis (CCC) of the autoregressive model conditional on heterogeneity of multivariate generalized variances (MGARCH) has been used. The data of this study have been collected and used quarterly in the period 2004-2023.The results show that volatility in all markets is dependent on the previous period's shocks in the same market, in other words, the self-effects in all markets are statistically significant.The results indicate that oil market shocks significantly increase stock market volatility. Conversely, stock market shock is contagious to oil market volatility. Also, stock market and oil market volatility are contagious to the gas market. The results showed that stock market shocks reduce economic growth volatility and oil market shocks increase economic growth volatility in Iran. Despite the existence of spillovers between markets, there are no spillover effects of volatility between these markets, such that volatility in one market does not affect volatility in other markets
