Volatility spillovers among global stock markets : measuring total and directional effects

Número: 
983
Publicado: 
Clasificación JEL: 
G01, G15, C32
Palabras clave: 
Volatility Spillovers, DCC-GARCH Model, Global Stock Market Linkages, Financial Crisis

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In this study we construct volatility spillover indexes for some of the major stock market indexes in the world. We use a DCC-GARCH framework for modelling the multivariate relationships of volatility among markets. Extending the framework of Diebold and