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Causality in Variance Test/Ushahidi
Rekodi ya ushahidi wa mbinu

Causality in Variance Test

The causality-in-variance test detects whether shocks to one variable cause changes in the conditional variance (volatility) of another variable, distinct from mean-level causality. Introduced by Cheung and Ng (1996), it identifies volatility spillovers and contagion effects—crucial for risk management and understanding financial market interdependencies. This approach has become standard in studying shock transmission across asset classes and geographies.

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Rekodi ya chanzo

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Test for Causality in Variance
Rekodi ya mbinu ya kiajenda · regression-model / econometrics
  • Cheung, Y. W., & Ng, L. K. (1996). A causality-in-variance test and its application to financial market prices. Journal of Econometrics, 72(1-2), 33-61. · DOI 10.1016/0304-4076(94)01714-X
  • Hafner, C. M., & Herwartz, H. (2006). Testing for causality in variance using multivariate GARCH models. Journal of Econometrics, 135(1-2), 129-153. · URL
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Same method familyComponent GARCHmachine-suggested · Relational suggestion, not evidence.Same method familyDCC-MIDASmachine-suggested · Relational suggestion, not evidence.Same method familyGARCH-MIDASmachine-suggested · Relational suggestion, not evidence.

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Sources recorded, not reviewed

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