Conditional Autoregregressive Range (CARR) Based Volatility Spillover Index For the Eurozone Markets

Selçuk Bayracı () and Sercan Demiralay

MPRA Paper from University Library of Munich, Germany

Abstract: : We examine the volatility spillovers among major Eurozone countries employing the Diebold and Yilmaz (2012) model with time-varying conditional ranges generated from conditional autoregressive range (CARR) model of Chou (2005). The empirical findings, based on a data set covering a fifteen year period (1998-2013), suggest a total volatility spillover index in a very high degree. 74.9% of total volatility in the Eurozone markets is attributed to spillover effects from other markets. Moreover, rolling window analysis shows that volatility spillover index is relatively higher during the turmoil periods.

Keywords: CARR; financial crisis; volatility spillover index; Eurozone (search for similar items in EconPapers)
JEL-codes: C32 G01 G10 (search for similar items in EconPapers)
Date: 2013-11-18
New Economics Papers: this item is included in nep-eec and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:51909

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