2010 Vol. 4 Num. 2 - GCG: Revista de GlobalizaciÃ³n, Competitividad ...

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Conditional volatility in sustainable and traditional stock exchange indexes: analysis of the Spanish market112 Table IV. Stationarity and Heteroskedasticity tests of IBEX35 and FTSE4Good-IBEX return seriesTest / Index IBEX35 FTSE4Good-IBEXDF -21.49*** -21.14***PP -21.58*** -21.14***ARCH (5)18.84*** 13.02***LB (5)18.23*** 12.47***** Significant at 1% level, ** Significant at 5% level, * Significant at 10% level. Critical values for Dickey-Fuller and Phillips-Perron unitroot tests: 1% level = -2.574, 5% level = -1.942, 10% level = -1.616. ARCH and LB tests are based on residuals of a random walk with anintercept model of return series of both stock exchange indexesAs can be seen in Figures 3 and 4, there are no residual stationarity or autocorrelation problemsfor either model so the econometric models introduced in the next section will bebased on this process.Figure 3: IBEX35 residuals correlogramFigure 4: FTSE4Good-IBEX residuals correlogramGCG GEORGETOWN UNIVERSITY - UNIVERSIA 2010 VOL. 4 NUM. 2 ISSN: 1988-7116
Eduardo Ortas, José M. Moneva & Manuel SalvadorFigure 5: IBEX35 squared residuals correlogram113Figure 6: FTSE4Good-IBEX squared residuals correlogramFurthermore, Arch test and Figures 5 and 6 shows that the residuals are heteroskedasticand prove the suitability of univariate and multivariate GARCH parameterisation for theconditional volatility modelling of both return series.4. Econometric modelsOver the last few years, univariate GARCH modelling, which considers the volatility of eachasset separately, is a commonly used technique in financial-econometrics literature (Andersenet al., 2006 a, b; Bauwens et al., 2006). However, volatility moves together over timeacross assets and markets (Bauwens et al., 2006), so, it seems reasonable to model conditionalvolatility considering this co-dependent relationship. To this end, multivariate GARCHGCG GEORGETOWN UNIVERSITY - UNIVERSIA 2010 VOL. 4 NUM. 2 ISSN: 1988-7116
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CARTA DEL EDITOR IN CHIEFEditor in
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SUMARIO SUMMARY SUMÁRIO1Ú2Efectos
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StaffDe la Torre, José, Dean, Chap
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Staff2. MULTINACIONALES, INVERSIÓN
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SELECCIÓN PROCEDURE PROCEDIMENTOIN
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Instrucciones para Autores y Proced
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Instrucciones para Autores y Proced
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16 Efectos de la inversión en I+Ds
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Efectos de la inversión en I+D sob
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28El Pacto Mundial de las NacionesU
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El Pacto Mundial de las Naciones Un
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40La política de Industrializació
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La política de Industrialización
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54autorMiguel Blanco-Callejo 1Depar
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Miguel Blanco-CallejoA pesar de que
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Miguel Blanco-CallejoEn 2003, como
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2010 Vol. 4 Num. 2 - GCG: Revista de GlobalizaciÃ³n, Competitividad ...

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