文章基本信息

标题：Measuring Persistence in Volatility Spillovers
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作者：Christian Conrad ; Enzo Weber
期刊名称：Discussion Paper Series / Universität Heidelberg, Department of Economics
出版年度：2013
卷号：2013
出版社：Universität Heidelberg, Department of Economics
摘要：This paper analyzes volatility spillovers in multivariate GARCH-type models.We show that the cross-e.ects between the conditional variances determine thepersistence of the transmitted volatility innovations. In particular, the e.ect of aforeign volatility innovation on a conditional variance is even more persistent thanthe e.ect of an own innovation unless it is o.set by an accompanying negativevariance spillover of su.cient size. Moreover, ignoring a negative variance spillovercauses a downward bias in the estimate of the initial impact of the foreign volatilityinnovation. Applying the concept to portfolios of small and large firms, we find thatshocks to small firm returns a.ect the large firm conditional variance once we allowfor (negative) spillovers between the conditional variances themselves
关键词：Multivariate GARCH; spillover; persistence; small and large firms