Borradores de Economia
Número:
943
Publicado:
Clasificación JEL:
G01, G15, C32
Palabras clave:
Volatility Spillovers, DCC-GARCH Model, Stock Market Linkages, Financial Crisis
Lo más reciente
Juan Esteban Carranza-Romero, Alejandra González-Ramírez, Mauricio Villamizar-Villegas
Hernán Rincón-Castro, Steven Zapata-Álvarez
We extend the framework of Diebold and Yilmaz [2009] and Diebold and Yilmaz [2012] and construct volatility spillover indexes using a DCC-GARCH framework to model the multivariate relationships of volatility among assets. We compute spillover indexes dire