Journal of Applied
Finance & Research

Abstract

Using a multivariate DCC GARCH framework, we estimate bidirectional volatility spillovers between sovereign credit default swap spreads and benchmark equity indices for the six Gulf Cooperation Council economies between 2012 and 2023. The study formally assesses how oil price regimes, sovereign rating actions, and regional geopolitical events modulate the strength and direction of spillovers, with particular attention to episodes of joint stress.