Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events

This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spillover Index and the Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets of data, daily realized volatility estimates taken from...

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Detalles Bibliográficos
Autores: Allen, David E., McAleer, Michael, Powell, Robert J., Singh, Abhay K.
Tipo de recurso: informe técnico
Fecha de publicación:2016
País:España
Institución:Universidad Complutense de Madrid (UCM)
Repositorio:Docta Complutense
Idioma:inglés
OAI Identifier:oai:docta.ucm.es:20.500.14352/22863
Acceso en línea:https://hdl.handle.net/20.500.14352/22863
Access Level:acceso abierto
Palabra clave:C22
C32
C58
G32
Spillover Index
Volatility Impulse Response Functions (VIRF)
BEKK
DBEKK
Asymmetry
GFC
ESDC.
Econometría (Economía)
5302 Econometría
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oai_identifier_str oai:docta.ucm.es:20.500.14352/22863
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repository_id_str
spelling Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News EventsAllen, David E.McAleer, MichaelPowell, Robert J.Singh, Abhay K.C22C32C58G32Spillover IndexVolatility Impulse Response Functions (VIRF)BEKKDBEKKAsymmetryGFCESDC.Econometría (Economía)5302 EconometríaThis paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spillover Index and the Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets of data, daily realized volatility estimates taken from the Oxford Man RV library, running from the beginning of 2000 to October 2016, for the S&P500 and the FTSE, plus ten years of daily returns series for the New York Stock Exchange Index and the FTSE 100 index, from 3 January 2005 to 31 January 2015. 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 key difference between the measures is that the spillover index captures an average of spillovers over a period, whilst volatility impulse responses (VIRF) have to be calibrated to conditional volatility estimated at a particular point in time. The VIRF provide information about the impact of independent shocks on volatility. In the latter analysis, we explore the impact of three different shocks, the onset of the GFC, which we date as 9 August 2007 (GFC1). It took a year for the financial crisis to come to a head, but it did so on 15 September 2008, (GFC2). The third shock is 9 May 2010. Our modelling includes leverage and asymmetric effects undertaken in the context of a multivariate GARCH model, which are then analysed using both BEKK and diagonal BEKK (DBEKK) models. A key result is that the impact of negative shocks is larger, in terms of the effects on variances and covariances, but shorter in duration, in this case a difference between three and six months.Universidad Complutense de Madrid20162016-10-0120162016-10-01technical reporthttp://purl.org/coar/resource_type/c_18ghinfo:eu-repo/semantics/reportapplication/pdfhttps://hdl.handle.net/20.500.14352/22863reponame:Docta Complutenseinstname:Universidad Complutense de Madrid (UCM)Inglésengopen accesshttp://purl.org/coar/access_right/c_abf2info:eu-repo/semantics/openAccessoai:docta.ucm.es:20.500.14352/228632026-06-02T12:44:21Z
dc.title.none.fl_str_mv Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events
title Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events
spellingShingle Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events
Allen, David E.
C22
C32
C58
G32
Spillover Index
Volatility Impulse Response Functions (VIRF)
BEKK
DBEKK
Asymmetry
GFC
ESDC.
Econometría (Economía)
5302 Econometría
title_short Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events
title_full Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events
title_fullStr Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events
title_full_unstemmed Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events
title_sort Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events
dc.creator.none.fl_str_mv Allen, David E.
McAleer, Michael
Powell, Robert J.
Singh, Abhay K.
author Allen, David E.
author_facet Allen, David E.
McAleer, Michael
Powell, Robert J.
Singh, Abhay K.
author_role author
author2 McAleer, Michael
Powell, Robert J.
Singh, Abhay K.
author2_role author
author
author
dc.contributor.none.fl_str_mv Universidad Complutense de Madrid
dc.subject.none.fl_str_mv C22
C32
C58
G32
Spillover Index
Volatility Impulse Response Functions (VIRF)
BEKK
DBEKK
Asymmetry
GFC
ESDC.
Econometría (Economía)
5302 Econometría
topic C22
C32
C58
G32
Spillover Index
Volatility Impulse Response Functions (VIRF)
BEKK
DBEKK
Asymmetry
GFC
ESDC.
Econometría (Economía)
5302 Econometría
description This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spillover Index and the Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets of data, daily realized volatility estimates taken from the Oxford Man RV library, running from the beginning of 2000 to October 2016, for the S&P500 and the FTSE, plus ten years of daily returns series for the New York Stock Exchange Index and the FTSE 100 index, from 3 January 2005 to 31 January 2015. 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 key difference between the measures is that the spillover index captures an average of spillovers over a period, whilst volatility impulse responses (VIRF) have to be calibrated to conditional volatility estimated at a particular point in time. The VIRF provide information about the impact of independent shocks on volatility. In the latter analysis, we explore the impact of three different shocks, the onset of the GFC, which we date as 9 August 2007 (GFC1). It took a year for the financial crisis to come to a head, but it did so on 15 September 2008, (GFC2). The third shock is 9 May 2010. Our modelling includes leverage and asymmetric effects undertaken in the context of a multivariate GARCH model, which are then analysed using both BEKK and diagonal BEKK (DBEKK) models. A key result is that the impact of negative shocks is larger, in terms of the effects on variances and covariances, but shorter in duration, in this case a difference between three and six months.
publishDate 2016
dc.date.none.fl_str_mv 2016
2016-10-01
2016
2016-10-01
dc.type.none.fl_str_mv technical report
http://purl.org/coar/resource_type/c_18gh
dc.type.openaire.fl_str_mv info:eu-repo/semantics/report
format report
dc.identifier.none.fl_str_mv https://hdl.handle.net/20.500.14352/22863
url https://hdl.handle.net/20.500.14352/22863
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Docta Complutense
instname:Universidad Complutense de Madrid (UCM)
instname_str Universidad Complutense de Madrid (UCM)
reponame_str Docta Complutense
collection Docta Complutense
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15.811543

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