Accessibility navigation


Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia

Brooks, C. ORCID: https://orcid.org/0000-0002-2668-1153 and Henry, Ó. T. (2000) Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia. Economic Modelling, 17 (4). pp. 497-513. ISSN 0264-9993

Full text not archived in this repository.

It is advisable to refer to the publisher's version if you intend to cite from this work. See Guidance on citing.

To link to this item DOI: 10.1016/S0264-9993(99)00035-8

Abstract/Summary

This paper models the transmission of shocks between the US, Japanese and Australian equity markets. Tests for the existence of linear and non-linear transmission of volatility across the markets are performed using parametric and non-parametric techniques. In particular the size and sign of return innovations are important factors in determining the degree of spillovers in volatility. It is found that a multivariate asymmetric GARCH formulation can explain almost all of the non-linear causality between markets. These results have important implications for the construction of models and forecasts of international equity returns.

Item Type:Article
Refereed:Yes
Divisions:Henley Business School > ICMA Centre
ID Code:35979
Publisher:Elsevier

University Staff: Request a correction | Centaur Editors: Update this record

Page navigation