Abstract This study utilizes the MGARCH-BEKK and MGARCH-ADCC models to investigate the dynamic relationship between Pharmaceutical, Insurance, and Healthcare Exchange-Traded Funds (ETFs). The findings reveal significant interconnections among these sectors. Asymmetric volatility spillovers indicate that shocks in one sector have a more significant effect on the volatility of the others. The conditional covariance matrix analysis shows how large shocks cluster over time. Furthermore, the autoregressive equations provide information about the mean and volatility changes in the sectors. The findings significantly affect investment strategies, risk management, and portfolio diversification in the ETF sectors. Policymakers can evaluate market stability and take appropriate regulatory measures. The research provides a deeper understanding of the dynamics between ETF sectors, which benefits stakeholders in the healthcare and financial industries.
Hussain et al. (Wed,) studied this question.
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