قياس درجة انتقال المخاطر النظامية باستعمال نموذج Vech-garch(1.1)‎ الأزمة المالية العالمية 2008 : دراسة حالة

الملخص EN

The aim of this study was to measure the degree of systemic risk transmission during the period of the 2008 global financial crisis and to Applying the model VECH-GARCH (1.

1) on the turnover of stock exchange indexes for five developped countries represented in; the U S A, Britain, France, Germany, and Japan shows that there is a difference in the degree of transmission of systemic risk in the United States of America compared with the other countries, as well as the existence of systemic risk transmission among these countries differed degree from one state to another.

these explains that there is a differrence in the degree of financial integration inside each country