Corrigendum: The Independence of Indexed Volatilities

Tumellano Sebehela, Katlego Kola and Katlego Kola

A chapter in Linear and Non-Linear Financial Econometrics -Theory and Practice from IntechOpen

Abstract: Studies on indexed volatility spillovers are unique because indices encompass more information than other parameters used in illustrating volatility movements. Further, indices encompass most of the constituents listed on different stock exchanges around the globe. This chapter uses vector autoregression (VAR) for volatility spills and the Markov regime switching model to understand how different volatility regimes behave among bonds, commodities, equities and real estate indices of emerging markets. The results illustrate that volatility spillovers occur within (same) indices and across different indices. Moreover, those spillovers are within and across emerging countries. Interestingly, illiquid indices in certain situations move in between different volatility regimes more than liquid indices. Volatility strategies emanating from this study are equally applicable to both sell and buy sides in securities markets.

Keywords: BRICS; duration; Markov-regime switching; VAR(1); volatility spillovers (search for similar items in EconPapers)
JEL-codes: C01 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ito:pchaps:207621

DOI: 10.5772/intechopen.90240

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