A systematic BEKK-GARCH model with multiple switch points in the variance equations is found to capture the structural changes that have taken place in the Hong Kong markets. Abolishment of the uptick rule in the Hong Kong stock market, increase of initial margins and electronic trading of Hang...

We adopt a BEKK-GARCH framework and employ a systematic approach to jointly examine structural breaks in the Hong Kong cash index and index futures volatility and volatility spillovers from the S&P 500 cash and futures. Multiple switching dummy variables are included in the variance equations to...

In an earlier paper we adopted a Bi-variate BEKK-GARCH framework and employed a systematic approach to examine structural breaks in the Hang Seng Index and Index Futures market volatility. Switching dummy variables were included and tested in the variance equations to check for any structural...