# What model for volatility spillover effect in R? [closed]

I am doing research to study the volatility spill[over] effect. I have time-series data of Indonesian stock price (Jakarta composite index or JKSE), an exchange rate (IDR/USD), and oil price (BRENT). My dependent variable is stock price and vice versa. What would be the best model to study the spillover effect on Stock prices?

I was thinking of using VAR-GARCH or BEKK GARCH Model in R Studio. Any suggestion would be highly appreciated.

• It would be appreciated if you demarcated all of the acronyms you use in your question. May 13 at 23:19

There are other multivariate GARCH models out there, as reviewed in Bauwens et al. "Multivariate GARCH models: a survey" (2006) and Silvennoinen & Teräsvirta "Multivariate GARCH models" (2009). Perhaps some of them might work. E.g. consider GO-GARCH; there are at least a couple of packages for estimating the model in R, namely, gogarch and rmgarch. I am just afraid McAleer comes out soon and explains how GO-GARCH is full of problems, too :)