Logo
Munich Personal RePEc Archive

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.

[thumbnail of MPRA_paper_51909.pdf]
Preview
PDF
MPRA_paper_51909.pdf

Download (1MB) | Preview

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.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.