Measuring Volatility Spillover in Russian Equity Market : A Multivariate GARCH Approach

In September 2008 and onwards, the Russian stock markets came under severe strain amidst the global financial crisis. During this time the Russian government intervened several times to halt the continuous slide. The government justified its actions owing to the argument that the crisis was due to a trickledown effect from financial crisis in US and other developed markets. We put to test the government's claim by exploring the volatility linkages of Russia versus US and Europe. We found strong bidirectional return and volatility linkages between these markets leading the evidence in favor of government claim