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Measuring Persistence in Volatility Spillovers

URN to cite this document:
urn:nbn:de:bvb:355-epub-280434
Conrad, Christian ; Weber, Enzo
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Date of publication of this fulltext: 12 Apr 2013 09:58


Abstract

This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the conditional variances determine the persistence of the transmitted volatility innovations. In particular, the effect of a foreign volatility innovation on a conditional variance is even more persistent than the effect of an own innovation unless it is offset by an accompanying ...

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