Dynamic asymmetric financial connectedness under tail dependence and rendered time variance: Selected evidence from emerging MENA stock markets

We study the volatility connectedness of stock market prices over various time horizons. We adopt a novel combination of copula and the asymmetric GARCH function (EGARCH) to fit this type of joint distribution consisting of the marginal distribution and the varying rendered time. The most obvious finding to emerge from this study is that the dynamic connectedness of asymmetries in the chosen sample can well be modelled using a combination approach, such as the DCC Copula-GARCH model. Moreover, past-return volatility has a positive impact on current versatility with varying intensity.