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Conditional Autoregregressive Range (CARR) Based Volatility Spillover Index For the Eurozone Markets

Bayraci, Selcuk and Demiralay, Sercan (2013): Conditional Autoregregressive Range (CARR) Based Volatility Spillover Index For the Eurozone Markets.

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Abstract

: We examine the volatility spillovers among major Eurozone countries employing the Diebold and Yilmaz (2012) model with time-varying conditional ranges generated from conditional autoregressive range (CARR) model of Chou (2005). The empirical findings, based on a data set covering a fifteen year period (1998-2013), suggest a total volatility spillover index in a very high degree. 74.9% of total volatility in the Eurozone markets is attributed to spillover effects from other markets. Moreover, rolling window analysis shows that volatility spillover index is relatively higher during the turmoil periods.

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