Volatility spillover and multivariate volatility impulse response analysis of GFC news events

David Allen, Michael McAleer, Robert Powell and Abhay K. Singh

Applied Economics, 2017, vol. 49, issue 33, 3246-3262

Abstract: This article applies two measures to assess spillovers across markets: the Diebold and Yilmaz’s (2012) spillover index and the Hafner and Herwartz’s (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets of data, daily realized volatility (RV) estimates taken from the Oxford-Man RV library, for the S&P500 and the FTSE, plus 10 years of daily returns series for the New York Stock Exchange Index and the FTSE 100 index. Both data sets capture both the global Financial Crisis (GFC) and the subsequent European Sovereign Debt Crisis (ESDC). The spillover index captures the transmission of volatility to and from markets, plus net spillovers. The Volatility Impulse Responses (VIRF) have to be calibrated to conditional volatility estimated at a particular point in time. We explore the impact of three different shocks, the onset of the GFC, the height of the GFC, and the impact of the ESDC. Our modelling includes leverage and asymmetric effects applying a multivariate GARCH model, and further analysis using both BEKK and diagonal BEKK (DBEKK) models. We find the impact of negative shocks is larger, but shorter in duration, in this case a difference between 3 and 6 months.

Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2016.1257210 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events (2016)
Working Paper: Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events (2016)
Working Paper: Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:49:y:2017:i:33:p:3246-3262

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2016.1257210

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().