Template-type: ReDIF-Paper 1.0
Author-Name: David E. Allen
Author-Workplace-Name: School of Mathematics and Statistics, University of Sydney, School of Business, University of South Australia.
Author-Name: Michael McAleer
Author-Workplace-Name:
 Department of Quantitative Finance, National Tsing Hua University, Taiwan, Econometric Institute, Erasmus 
	School of Economics, Erasmus University, Rotterdam, The Netherlands, Department of Quantitative Economics, Complutense 
	University of Madrid, Spain, Institute of Advanced Sciences, Yokohama National University, Japan.
Author-Name:
 Robert Powell
Author-Workplace-Name: School of Business and Law, Edith Cowan University, Perth, Australia.
Author-Name: 
Abhay K. Singh
Author-Workplace-Name: School of Business and Law, Edith Cowan University, Perth, Australia.
Title: Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events
Abstract: This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spillover Index and the Hafner 
	and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets of data, 
	daily realized volatility estimates taken from the Oxford Man RV library, running from the beginning of 2000 to October 2016, 
	for the S&P500 and the FTSE, plus ten years of daily returns series for the New York Stock Exchange Index and the FTSE 100 
	index, from 3 January 2005 to 31 January 2015. Both data sets capture both the Global Financial Crisis (GFC) and the subsequent 
	European Sovereign Debt Crisis (ESDC). The spillover index captures the transmission of volatility to and from markets, plus 
	net spillovers. The key difference between the measures is that the spillover index captures an average of spillovers over a 
	period, whilst volatility impulse responses (VIRF) have to be calibrated to conditional volatility estimated at a particular 
	point in time. The VIRF provide information about the impact of independent shocks on volatility. In the latter analysis, we 
	explore the impact of three different shocks, the onset of the GFC, which we date as 9 August 2007 (GFC1). It took a year for 
	the financial crisis to come to a head, but it did so on 15 September 2008, (GFC2). The third shock is 9 May 2010. Our 
	modelling includes leverage and asymmetric effects undertaken in the context of a multivariate GARCH model, which are then 
	analysed using both BEKK and diagonal BEKK (DBEKK) models. A key result is that the impact of negative shocks is larger, in 
	terms of the effects on variances and covariances, but shorter in duration, in this case a difference between three and six 
	months.
Classification-JEL: C22, C32, C58, G32.
Keywords: Spillover Index, Volatility Impulse Response Functions (VIRF), BEKK, DBEKK, Asymmetry, GFC, ESDC. 
Length: 39 pages 
Creation-Date: 2016-10
Number: 2016-16
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1616.txt
File-URL: https://eprints.ucm.es/id/eprint/39494/1/1616.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1616