Simultaneous Volatility Transmissions and Spillover Effects
AbstractSimultaneous Volatility models are developed and shown to be separate from Multivariate GARCH estimators. An example is provided that allows for simultaneous and uni-directional volatility and volume of trade effects. These effects are tested using intra-day data from the Australian cash index and index futures markets. Overnight volatility spillover effects from the S&P500 index futures markets are tested using alternative estimates of this U.S. market volatility. The simultaneous volatility model proves to be robust to alternative specifications of returns equations and to mis-specification of the direction of volatility causality.
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Bibliographic InfoPaper provided by Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance in its series Accounting, Finance, Financial Planning and Insurance Series with number 2004_10.
Length: 40 pages
Date of creation: 21 Jul 2004
Date of revision:
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Volatility; Simultaneous Models; Transmissions; Spillovers;
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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- Gannon, Gerard, 2005. "Simultaneous volatility transmissions and spillover effects: U.S. and Hong Kong stock and futures markets," International Review of Financial Analysis, Elsevier, vol. 14(3), pages 326-336.
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