A1808
Title: Spillover effect in financial market via a bivariate component model
Authors: Jiaying Wu - Brunel University (United Kingdom) [presenting]
Menelaos Karanasos - Brunel University (United Kingdom)
Abstract: A bivariate system volatility model is introduced, to study the spillover effect of the financial market. The joint model has a component structure which allows us to study the short and long-run volatility dynamics, and further investigate the spillover effect among stock index, realised volatility and implied volatility. Due to the specificity of the joint model, the maximum likelihood of the model's estimation is discussed. In addition, the empirical results reflect the model to capture the spillover effect in six financial markets. Additionally, the empirical application indicates that the three crisis periods (the 2008 global financial crisis, the European sovereign debt crisis, and the COVID-19 pandemic crash) significantly increased the spillover effect among the financial systems.
