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Measures of variability are statistical metrics that reveal the dispersion pattern within a dataset. They are pivotal in biostatistics, providing insights into the heterogeneity within health and biological data. Variability signifies the degree to which data points diverge from one another, helping researchers understand the potential range of values and associated uncertainty within the data.
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Related Experiment Video

Updated: Aug 19, 2025

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A Bayesian analysis based on multivariate stochastic volatility model: evidence from green stocks.

Ming Ma1, Jing Zhang2

  • 1Hefei University of Technology, Hefei, Anhui People's Republic of China.

Journal of Combinatorial Optimization
|December 5, 2022
PubMed
Summary

Green stock indexes in China offer a safe investment haven, showing low volatility spillover during the COVID-19 pandemic. These green assets provide a low-risk portfolio option for environmentally conscious investors.

Keywords:
Bayesian analysisGreen stockMachine learningMarkov chain Monte CarloSpillover Effect

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Area of Science:

  • Environmental Finance
  • Quantitative Finance
  • Sustainable Investing

Background:

  • Green stocks represent environmentally responsible companies.
  • Assessing their role as safe-haven assets is crucial for investors.
  • Understanding market interconnectedness, especially during crises, is vital.

Purpose of the Study:

  • To evaluate the safe-haven properties of Chinese Green stock indexes (SSE EPI and CSI).
  • To analyze volatility spillover effects between green stocks and other major financial assets.
  • To determine the suitability of green stocks for low-risk investment portfolios.

Main Methods:

  • Utilized a multivariate stochastic volatility (SV) model with a Bayesian approach.
  • Employed the Markov Chain Monte Carlo (MCMC) machine learning method for parameter estimation.
  • Applied the DCGCt-MSV model for accurate volatility spillover analysis.

Main Results:

  • No significant volatility spillover was found between Chinese Green stock indexes and Shanghai Stock Index, S&P index, gold, or oil futures.
  • During the COVID-19 pandemic, Green stock indexes demonstrated safe-haven characteristics with low volatility spillover.
  • A strong one-way volatility spillover from Green stock indexes to crude oil futures was observed.

Conclusions:

  • Chinese Green stock indexes (SSE EPI and CSI) function as effective safe-haven assets.
  • Green stocks offer diversification benefits, creating low-risk investment portfolios.
  • The advanced DCGCt-MSV model proves accurate for financial spillover analysis.