Title : Dependency or interdependency effect of the Corona-virus: Evidence of ADCC and copula multivariate GARCH models
Abstract:
Objective: This paper investigates contagion epidemic in a multivariate time-varying asymmetric framework, focusing on three European countries, namely United Kingdom, France and Italy, during the epidemic corona-virus.
Methods: Specifically, both a multivariate Gaussian copula model and the Asymmetric dynamic conditional correlation (ADCC) approach are used to capture non-linear correlation dynamics during the period January 22, 2020-April 30, 2020. The empirical evidence confirms a contagion effect from the epidemic country to all others, for each of the examined corona virus.
Results: The results also suggest that Italy is more prone to epidemic contagion, while the numbers of deaths turmoil has a larger impact than country-specific epidemic corona virus.
Conclusion: Our findings imply that policy responses to an epidemic corona virus are unlikely to prevent the spread among countries, making fewer domestic risks internationally diversifiable when it is most desirable.
Keywords: Corona virus, dependency, contagion, Asymmetric Dynamic Conditional Correlation
