Revisiting Spillover Effect: An Empirical Evidence from GARCH-ARMA Approach

  • Andrian Dolfriandra Huruta Chung Yuan Christian University
  • Hans Hananto Andreas Chung Yuan Christian University
  • Roberto Louis Forestal Chung Yuan Christian University
  • Anboli Elangovan Chung Yuan Christian University
  • John Francis Diaz Asian Institute of Management
Keywords: GARCH-ARMA, S&P 500, EUR/USD, Oil, Gold


This study analyzes the spillover effect of markets' commodity, exchange rate, and stock price. Starting from July 1, 2009, the daily data to December 31, 2019, are conducted in our study. The GARCH-ARMA approach has been undertaken in this study. The results show that four pairs experience the unidirectional (positive) spillover effect of return. Yet, the spillover effect of volatility shows a two-way relationship (both positive and negative) between commodity markets, stock prices, and exchange rates. To conclude, both stock prices and gold are volatility's net transmitters to other markets, while the EURUSD market is some markets' net receiver of volatility.


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Original Scientific Paper