Measuring Persistence in Volatility Spillovers
Christian Conrad and
Enzo Weber
No 473, University of Regensburg Working Papers in Business, Economics and Management Information Systems from University of Regensburg, Department of Economics
Abstract:
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 by an accompanying negative variance spillover of sufficient size. Moreover, ignoring a negative variance spillover causes a downward bias in the estimate of the initial impact of the foreign volatility innovation. Applying the concept to portfolios of small and large firms, we find that shocks to small firm returns affect the large firm conditional variance once we allow for (negative) spillovers between the conditional variances themselves.
Keywords: Multivariate GARCH; spillover; persistence; small and large firms (search for similar items in EconPapers)
JEL-codes: C32 C51 C52 C53 G10 (search for similar items in EconPapers)
Date: 2013-04-11
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)
Downloads: (external link)
https://epub.uni-regensburg.de/28043/1/ConradWeber.pdf (application/pdf)
Related works:
Working Paper: Measuring Persistence in Volatility Spillovers (2013)
Working Paper: Measuring Persistence in Volatility Spillovers (2013)
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:bay:rdwiwi:28043
Access Statistics for this paper
More papers in University of Regensburg Working Papers in Business, Economics and Management Information Systems from University of Regensburg, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Gernot Deinzer ().