Simultaneous Volatility Transmission and Spillover Effects

Review of Pacific Basin Financial Markets and Policies, Vol. 13, No. 1, pp. 127-156, 2010

Posted: 30 Jun 2010

See all articles by Gerard L. Gannon

Gerard L. Gannon

Deakin University - School of Accounting, Economics and Finance

Date Written: March 1, 2010

Abstract

Simultaneous volatility models are developed and shown to be separate from multivariate GARCH estimators. An example is provided that allows for simultaneous and unidirectional volatility and volume of trade effects. These effects are tested using intraday data from the Australian cash index and index futures markets. Overnight volatility spillover effects from the United States S&P500 index futures markets are tested using alternative estimates of this US market volatility. The simultaneous volatility model proves to be robust to alternative specifications of returns equations and to misspecification of the direction of volatility causality.

Keywords: Volatility, Simultaneous Models, Transmissions, Spillovers

Suggested Citation

Gannon, Gerard L., Simultaneous Volatility Transmission and Spillover Effects (March 1, 2010). Review of Pacific Basin Financial Markets and Policies, Vol. 13, No. 1, pp. 127-156, 2010, Available at SSRN: https://ssrn.com/abstract=1632705

Gerard L. Gannon (Contact Author)

Deakin University - School of Accounting, Economics and Finance ( email )

221 Burwood Highway
Burwood, Victoria 3215
Australia

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