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Corrigendum: The Independence of Indexed Volatilities

In: Linear and Non-Linear Financial Econometrics -Theory and Practice

Author

Listed:
  • Tumellano Sebehela
  • Katlego Kola
  • Katlego Kola

Abstract

Studies on indexed volatility spillovers are unique because indices encompass more information than other parameters used in illustrating volatility movements. Further, indices encompass most of the constituents listed on different stock exchanges around the globe. This chapter uses vector autoregression (VAR) for volatility spills and the Markov regime switching model to understand how different volatility regimes behave among bonds, commodities, equities and real estate indices of emerging markets. The results illustrate that volatility spillovers occur within (same) indices and across different indices. Moreover, those spillovers are within and across emerging countries. Interestingly, illiquid indices in certain situations move in between different volatility regimes more than liquid indices. Volatility strategies emanating from this study are equally applicable to both sell and buy sides in securities markets.

Suggested Citation

  • Tumellano Sebehela & Katlego Kola & Katlego Kola, 2021. "Corrigendum: The Independence of Indexed Volatilities," Chapters, in: Mehmet Kenan Terzioglu & Gordana Djurovic & Martin M. Bojaj (ed.), Linear and Non-Linear Financial Econometrics -Theory and Practice, IntechOpen.
    • Handle: RePEc:ito:pchaps:207621
    DOI: 10.5772/intechopen.90240
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    More about this item

    Keywords

    BRICS; duration; Markov-regime switching; VAR(1); volatility spillovers;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics

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