This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the … conditional variances determine the persistence of the transmitted volatility innovations. In particular, the effect of a foreign … volatility innovation on a conditional variance is even more persistent than the effect of an own innovation unless it is offset …

This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the … conditional variances determine the persistence of the transmitted volatility innovations. In particular, the influence of a … foreign volatility innovation on a conditional variance is even more persistent than an own innovation unless this effect is …

We propose an asymptotic N(0, 1) inferential strategy to test for volatility spillover between markets consisting of … multivariate volatility modeling approach — which enjoys estimation consistency and simplicity — to facilitate higher dimensional …

-MGARCH model to examine the return and volatility spillovers across three distinct classes of cryptocurrencies: coins, tokens, and …-off of March 2020, and that both ARCH and GARCH effects play an important role in determining conditional volatility among … running in the other direction. Our results suggest that USDT does not currently play an important role in volatility …

evidence of direct linkage between the Russian equity market and the world markets with regards to returns and volatility …

negative news and volatility spillover effects, making it an attractive tool for multivariate volatility modeling. Despite … volatility modeling. The first example analyzes the daily returns of three stocks from the DJ30 index, while the second example … investigates volatility spillover effects among the bond, stock, crude oil, and gold markets. Overall, this extended multivariate …

Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets … of data, daily realized volatility estimates taken from the Oxford Man RV library, running from the beginning of 2000 to …) and the subsequent European Sovereign Debt Crisis (ESDC). The spillover index captures the transmission of volatility to …

; Dynamic conditional correlation ; Return comovement ; Volatility model evaluation …

allows for volatility feedback of either sign, i.e., positive or negative. In the previous literature, negative volatility … GARCH processes ; volatility feedback …