Volatility Similarity and Spillover Effects in G20 Stock Market Comovements: An ICA-Based ARMA-APARCH-M Approach

<div>The volatility characteristics of G20 stock returns. (a) US_S&amp;P 500, (b) Japan_Nikkei 225, (c) Germany_DAX, (d) France_CAC 40, (e) UK_FTSE 100, (f) Italy_MIB, (g) Canada_TSX, (h) Russia_RTS, (i) China_SSE Composite, (j) Argentina_MERVAL, (k) Australia_All Ordinaries, (l) Brazil_Bovespa, (m) India_BSE Sensex, (n) Indonesia_Jakarta Composite, (o) Mexico_IPC, (p) Saudi Arabia_TASI, (q) South Africa_INVSAF 40, (r) Turkey_ISE 100, and (s) South Korea_KOSPI.</div>

Complexity

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Figure 3

Figure 3: Volatility Similarity and Spillover Effects in G20 Stock Market Comovements: An ICA-Based ARMA-APARCH-M Approach 