eprintid: 14865
rev_number: 20
eprint_status: archive
userid: 2744
dir: disk0/00/01/48/65
datestamp: 2013-04-12 11:46:50
lastmod: 2015-10-02 13:13:08
status_changed: 2013-04-12 11:46:50
type: workingPaper
metadata_visibility: show
creators_name: Conrad, Christian
creators_name: Weber, Enzo
title: Measuring Persistence in Volatility Spillovers
subjects: 330
divisions: 181000
keywords: Multivariate GARCH, spillover, persistence, small and large firms.
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 negative variance spillover of sufficient size. Moreover, ignoring a negative variance spillover causes a downward bias in the estimate of the initial impact of the foreign volatility innovation. Applying the concept to portfolios of small and large firms, we find that shocks to small firm returns affect the large firm conditional variance once we allow for (negative) spillovers between the conditional variances themselves.
date: 2013-04
id_scheme: DOI
id_number: 10.11588/heidok.00014865
schriftenreihe_cluster_id: sr-3
schriftenreihe_order: 0543
ppn_swb: 1652263942
own_urn: urn:nbn:de:bsz:16-heidok-148657
language: eng
bibsort: CONRADCHRIMEASURINGP201304
full_text_status: public
series: Discussion Paper Series / University of Heidelberg, Department of Economics
volume: 0543
pages: 27
citation:   Conrad, Christian ; Weber, Enzo  (2013) Measuring Persistence in Volatility Spillovers.  [Working paper]     
document_url: https://archiv.ub.uni-heidelberg.de/volltextserver/14865/1/Conrad_Weber_2013_dp543.pdf