Measuring Persistence in Volatility Spillovers

Konferenzbeitrag

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 influence of a foreign volatility innovation on a conditional variance is even more persistent than an own innovation unless this effect is offset by an according negative variance spillover of sufficient size. Moreover, ignoring the latter causes a downward bias in the estimate of the initial impact of foreign volatility innovations. 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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Beiträge zur Jahrestagung des Vereins für Socialpolitik 2013: Wettbewerbspolitik und Regulierung in einer globalen Wirtschaftsordnung - Session: Volatility ; No. F01-V1

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Model Construction and Estimation ; General Financial Markets: General (includes Measurement and Data)

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Conrad, Christian ; Weber, Enzo
• Event: Veröffentlichung
• (who): ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft
• (where): Kiel und Hamburg
• (when): 2013

Further information

• Handle: http://hdl.handle.net/10419/79850
• Last update: 10.03.2025, 11:42 AM CET