Modelling of Interrelations of National Stock Market Indeces

At the present stage of development of the economies of individual countries and regions, financial crises (shocks) occur. А crisis is possible to prevent via defining the current phase of the business cycle, which is indicated by the volatility of national stock market indexes. The subject of this econometric research is the breaks and volatility of Asian national stock indexes, their stationarity and co-integration. The largest world stock indexes, the Dollar price in Rubles, the Brent Crude Oil price and the volatility indexes VIX, VKOSPI and VSTOXX for the American, Asian and European markets, respectively, are considered. The reason for the inclusion and advantage of volatility indices is that VIX, VSTOXX and VKOSPI explain the return of stocks well and reflect the main shocks of the global economy. In Russia, the stress volatility index (DESI) is currently under development at the HSE development Center, that is why identifying the mechanism of influence of stress indices on stock indices is particularly relevant for building the Russian stress index. This paper presents checking of the co-integration of series; Vector Autoregression representation, showing the relationship of various variables; Vector Error Correction Model, which shows the long - term and short-term impact on each variable; Granger causality test; DCC-GARCH and considers the presence of structural shifts in the series using the Bai-Perron test (Bai-Perron (2003)), which determines the presence and dates of breaks in the data.