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Simultaneous Volatility Transmissions and Spillover Effects

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Abstract

Simultaneous 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.

Suggested Citation

  • Gerard Gannon, 2004. "Simultaneous Volatility Transmissions and Spillover Effects," Working Papers 2004_10, Deakin University, Department of Economics.
    • Handle: RePEc:dkn:acctwp:aef_2004_10
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    File URL: http://www.deakin.edu.au/buslaw/aef/workingpapers/papers/swp2004_10.pdf
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    More about this item

    Keywords

    Volatility; Simultaneous Models; Transmissions; Spillovers;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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