Volatility connectedness between global COVOL and major international volatility indices

Danyang Xu, Yang Hu, Shaen Corbet and John W. Goodell

Finance Research Letters, 2023, vol. 56, issue C

Abstract: This research explores dynamic connectedness amongst financial markets using the novel financial risk measure, global common volatility (COVOL) (Engle and Campos-Martins, 2023) and four major asset price implied volatility measures using a TVP-VAR framework. Considering several major international crises, results show that COVOL is a shock receiver while also identifying that VIX is a dominant risk driver of the pricing of risk transmission for the global financial system. The fluctuations of connectedness between COVOL and each implied volatility indices are highly dependent on periods of exceptional stress across international financial markets.

Keywords: COVOL; VIX; Volatility; Connectedness; TVP-VAR (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004841

DOI: 10.1016/j.frl.2023.104112

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