Simultaneous Volatility Transmission and Spillover Effects

Gerard L. Gannon ()
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Gerard L. Gannon: Department of Accounting, Economics and Finance, Faculty of Business and Law, Deakin University, Burwood Highway, Burwood, Victoria, 3125, Australia

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2010, vol. 13, issue 01, 127-156

Abstract: Simultaneous volatility models are developed and shown to be separate from multivariate GARCH estimators. An example is provided that allows for simultaneous and unidirectional volatility and volume of trade effects. These effects are tested using intraday data from the Australian cash index and index futures markets. Overnight volatility spillover effects from the United States S&P500 index futures markets are tested using alternative estimates of this US market volatility. The simultaneous volatility model proves to be robust to alternative specifications of returns equations and to misspecification of the direction of volatility causality.

Keywords: Volatility; simultaneous models; transmissions; spillovers (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (4)

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DOI: 10.1142/S0219091510001895

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