This paper introduces a new approach to modelling the conditional variance in a multivariate setting. It is essentially a combination of the popular GARCH model class with a spatial component, inspired by generalized space-time models. The resulting spatial GARCH model takes into account both...

Volatility in financial markets is a highly explored area of research for the last few decades. Possible reasons for high concentration on the markets are its unexplained and unexplored sources. The present study aims to check certain macroeconomic variables as determinants of financial markets...