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Evaluation of volatility spillovers for asymmetric realized covariance

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  • Maki, Daiki

Abstract

This study proposes a new method for evaluating volatility spillovers in asymmetric realized covariance. The proposed method uses the realized semicovariance model, which decomposes the realized covariance based on positive and negative intraday returns. This method enables the measurement of volatility spillovers for both realized semivariance and asymmetric realized covariance. Asymmetric covariance spillovers are clearly observed when the method is applied to high-frequency data from major ETFs. Furthermore, our results demonstrate that accounting for asymmetric covariances plays an important role in the measurement of volatility spillovers.

Suggested Citation

  • Maki, Daiki, 2024. "Evaluation of volatility spillovers for asymmetric realized covariance," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
    • Handle: RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824001025
    DOI: 10.1016/j.najef.2024.102177
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    Keywords

    Volatility spillover; Realized volatility; Realized covariance; Realized semicovariance; Asymmetric effect;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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