The Analysis of the Spillover Effect for Insurance, Pharmaceutical and Healthcare ETFs: A Multivariate GARCH Model

The Analysis of the Spillover Effect for Insurance, Pharmaceutical and Healthcare ETFs: A Multivariate GARCH Model | Research Square window.SnipcartSettings = { analytics: { enabled: false } }; (function() { var accessVector = localStorage.getItem('access_vector') || ''; window.dataLayer = window.dataLayer || []; if (accessVector) { window.dataLayer.push({ user: { profile: { profileInfo: { snid: accessVector } } } }); } })(); (function(w,d,s,l,i){w[l]=w[l]||[];w[l].push({'gtm.start':new Date().getTime(),event:'gtm.js'});var f=d.getElementsByTagName(s)[0],j=d.createElement(s),dl=l!='dataLayer'?'&l='+l:'';j.async=true;j.src='https://www.googletagmanager.com/gtm.js?id='+i+dl;f.parentNode.insertBefore(j,f);})(window,document,'script','dataLayer','GTM-K279D39R'); Browse Preprints In Review Journals COVID-19 Preprints AJE Video Bytes Research Tools Research Promotion AJE Professional Editing AJE Rubriq About Preprint Platform In Review Editorial Policies Our Team Advisory Board Help Center Sign In Submit a Preprint Cite Share Download PDF Research Article The Analysis of the Spillover Effect for Insurance, Pharmaceutical and Healthcare ETFs: A Multivariate GARCH Model Sabbor Hussain, Jo-Hui Chen This is a preprint; it has not been peer reviewed by a journal. https://doi.org/ 10.21203/rs.3.rs-7382329/v1 This work is licensed under a CC BY 4.0 License Status: Posted Version 1 posted You are reading this latest preprint version 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. MGARCH-BEKK MGARCH-ADCC Spillover effect Volatility Asymmetry ETFs Full Text Additional Declarations No competing interests reported. Cite Share Download PDF Status: Posted Version 1 posted You are reading this latest preprint version Research Square lets you share your work early, gain feedback from the community, and start making changes to your manuscript prior to peer review in a journal. As a division of Research Square Company, we’re committed to making research communication faster, fairer, and more useful. We do this by developing innovative software and high quality services for the global research community. Our growing team is made up of researchers and industry professionals working together to solve the most critical problems facing scientific publishing. Also discoverable on Platform About Our Team In Review Editorial Policies Advisory Board Help Center Resources Author Services Accessibility API Access RSS feed Manage Cookie Preferences © Research Square 2026 | ISSN 2693-5015 (online) Privacy Policy Terms of Service Do Not Sell My Personal Information {"props":{"pageProps":{"initialData":{"identity":"rs-7382329","acceptedTermsAndConditions":true,"allowDirectSubmit":true,"archivedVersions":[],"articleType":"Research Article","associatedPublications":[],"authors":[{"id":503538723,"identity":"8670f834-334b-4b91-800f-6422095e83b3","order_by":0,"name":"Sabbor Hussain","email":"","orcid":"","institution":"Chung Yuan Christian University College of Business","correspondingAuthor":false,"prefix":"","firstName":"Sabbor","middleName":"","lastName":"Hussain","suffix":""},{"id":503538724,"identity":"963e5179-0c4c-4756-8a53-6bd5097261d6","order_by":1,"name":"Jo-Hui Chen","email":"data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAZAAAAAyAQMAAABI0h/eAAAABlBMVEX///8AAABVwtN+AAAACXBIWXMAAA7EAAAOxAGVKw4bAAAAuUlEQVRIiWNgGAWjYBACxgYeBoaECiiPh3gtZxBaJIjQBFTG2EaKFub23mMSD+fZJfbPSGB88LaNoc7gACGH9ZxLk0jclpw440YCs+HcNgYJwlpm5JgBtRxI3CCRwCbNC9RiRpyWOWAt7L9J0NIAsYWZOC09Z4wtEo4lG88487BZcs45Ccn9hLQYtvcY3vxRYyfb35588MObMht+yQZCWqAKHBuAscpAVEzKQ2l7wkpHwSgYBaNgxAIAMaY+jletVIQAAAAASUVORK5CYII=","orcid":"","institution":"Chung Yuan Christian University Department of Finance","correspondingAuthor":true,"prefix":"","firstName":"Jo-Hui","middleName":"","lastName":"Chen","suffix":""}],"badges":[],"createdAt":"2025-08-15 14:53:21","currentVersionCode":1,"declarations":"","doi":"10.21203/rs.3.rs-7382329/v1","doiUrl":"https://doi.org/10.21203/rs.3.rs-7382329/v1","draftVersion":[],"editorialEvents":[],"editorialNote":"","failedWorkflow":false,"files":[{"id":90036475,"identity":"9397f203-5377-4cf2-88ec-14408f9b73b5","added_by":"auto","created_at":"2025-08-27 15:54:05","extension":"pdf","order_by":1,"title":"","display":"","copyAsset":false,"role":"manuscript-pdf","size":472410,"visible":true,"origin":"","legend":"","description":"","filename":"Insurance11.pdf","url":"https://assets-eu.researchsquare.com/files/rs-7382329/v1_covered_7711a473-d5db-43f8-b8be-75b0a6a202b8.pdf"}],"financialInterests":"No competing interests reported.","formattedTitle":"The Analysis of the Spillover Effect for Insurance, Pharmaceutical and Healthcare ETFs: A Multivariate GARCH Model","fulltext":[],"fulltextSource":"","fullText":"","funders":[],"hasAdminPriorityOnWorkflow":false,"hasManuscriptDocX":false,"hasOptedInToPreprint":true,"hasPassedJournalQc":"","hasAnyPriority":false,"hideJournal":true,"highlight":"","institution":"","isAcceptedByJournal":false,"isAuthorSuppliedPdf":true,"isDeskRejected":"","isHiddenFromSearch":false,"isInQc":false,"isInWorkflow":false,"isPdf":true,"isPdfUpToDate":true,"isWithdrawnOrRetracted":false,"journal":{"display":true,"email":"[email protected]","identity":"researchsquare","isNatureJournal":false,"hasQc":true,"allowDirectSubmit":true,"externalIdentity":"","sideBox":"","snPcode":"","submissionUrl":"/submission","title":"Research Square","twitterHandle":"researchsquare","acdcEnabled":true,"dfaEnabled":false,"editorialSystem":"","reportingPortfolio":"","inReviewEnabled":false,"inReviewRevisionsEnabled":true},"keywords":"MGARCH-BEKK, MGARCH-ADCC, Spillover effect, Volatility Asymmetry, ETFs","lastPublishedDoi":"10.21203/rs.3.rs-7382329/v1","lastPublishedDoiUrl":"https://doi.org/10.21203/rs.3.rs-7382329/v1","license":{"name":"CC BY 4.0","url":"https://creativecommons.org/licenses/by/4.0/"},"manuscriptAbstract":"\u003cp\u003eThis study utilizes the MGARCH-BEKK and MGARCH-ADCC models to investigate the dynamic relationship between Pharmaceutical, Insurance, and Healthcare Exchange-Traded Funds (ETFs). 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