Linear and nonlinear linkage of conditional stochastic volatility of interbank interest rates:Empirical evidence of the BRICS countries
Journal: BRICS Journal of Economics
Year: 2021

The purpose of this article is to detect a possible linear and nonlinear causal relationship between the conditional stochastic volatility of log return of interbank interest rates for the BRICS countries in the period from January 2015 to October 2018. To extract the volatility of the analyzed time series, we use a stochastic volatility model with moving average innovations. To test a causal relationship between the estimated stochastic volatilities, two steps are applied. First, we used the Gr