International stock market indices and the crisis of new technologies: switching and DCC-MVGARCH approaches.

Summary Since the New Technologies stock market crisis in 2000 and the very large increase in the volatility of stock market assets compared to what preceded that year, the modeling of this volatility and its contagion effect across the stock markets in the world, has generated a lot of discussion and research. We are therefore interested in modeling the volatility of three technology indices: NASDAQ-100, IT. CAC and NEMAX and five global indices: Dow Jones Industrial Average, Standard & Poor 500, NASDAQ Composite, DAX and CAC40, in order to verify whether the investment risk, measured by the Value at Risk (VaR), has changed as a result of the technology crisis and to show that the technology crisis, among all the stock market crises experienced, is the one that has most affected the stock markets worldwide. Our VaR calculation requires an accurate modeling of the volatility of the studied series and the identification of the presence of dynamic or non dynamic conditional correlations. We use different models to model the volatility of the indices under study, including different regime-switching models (SWARCH, SWGARCH and MSVECM) and the dynamic conditional correlation multivariate GARCH model (DCC-MVGARCH). We use the regime-switching and VAR models to show the existence of co-movement and contagion effects between the studied indices and the DCC-MVGARCH model to show the effect of the technology crisis on the increase in stock market volatility and the presence of dynamic correlations linking them, as well as for the calculation of the VaR. At the end, we compare the VaR calculated by the DCC-MVGARCH model with the VaR calculated by the non-parametric copula method.