Volatility spillovers among global stock markets : measuring total and directional effects

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Borradores de Economía; No. 983

Date published

2017-01-31

Date

2017-01-31

Authors

Gamba-Santamaría, Santiago
Gómez-González, José Eduardo
Hurtado-Guarín, Jorge Luis
Melo-Velandia, Luis Fernando

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Document language

spa
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Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.

The opinions contained in this document are the sole responsibility of the author and do not commit Banco de la República or its Board of Directors.

Abstract

In this study we construct volatility spillover indexes for some of the major stock market indexes in the world. We use a DCC-GARCH framework for modelling the multivariate relationships of volatility among markets. Extending the framework of Diebold and

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JEL Codes

G01 - Financial Crises
G15 - International Financial Markets
C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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Keywords

Keywords

Volatility spillovers , DCC-GARCH model , Global stock market linkages , Financial crisis

Citation

URI

https://repositorio.banrep.gov.co/handle/20.500.12134/6294
 https://hdl.handle.net/20.500.12134/6294
 https://ideas.repec.org/p/bdr/borrec/983.html
 https://doi.org/10.32468/be.983

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