Simultaneous Volatility Transmissions and Spillover Effects
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.
|Date of creation:||21 Jul 2004|
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