Erratum to “Testing and Predicting Volatility Spillover—A Multivariate GJR-GARCH Approach” [Theoretical Economics Letters, 2019, 9, 83-99]

Hira Aftab^1,2*, Rabiul Alam Beg¹, Sizhong Sun¹, Zhangyue Zhou¹

¹College of Business, Law and Governance, James Cook University, Townsville, Australia.
²Institute of Business & Information Technology, University of the Punjab, Lahore, Pakistan.

DOI: 10.4236/tel.[phone]                

Abstract

The original online version of this article (Testing and Predicting Volatility Spillover—A Multivariate GJR-GARCH Approach” [Theoretical Economics Letters, 2019, 9, 83-99]. https://doi.org/10.4236/tel.[phone]) unfortunately contains some mistakes. The author wishes to correct the errors.

Keywords

Diagonal BEKK, QMLE, Diversification, Spillovers, Partial Co-Volatility, Bond Market, Stock Market, Money Market

Table 1. Basic statistics of the return series from 4 April 2006 to 20 June 2016.

Table 2. Stationarity/non stationarity tests of the return series from 4 April 2006 to 20 June 2016.

Table 3. The VAR(1) mean model for Stock, Bond and Money markets.

Table 4. DBEKK conditional volatility model for Stock, Bond and Money markets.

Table 5. Multivariate statistics diagnostics.

Table 6. Return Spillovers and Granger causality test in the mean-model.

Conflicts of Interest

The authors declare no conflicts of interest regarding the publication of this paper.

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