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

Figure 5

The residual series given by the ARMA-APARCH-M model. (a) DAX (Germany), (b) CAC 40 (France), (c) FTSE 100 (UK), (d) MIB (Italy), (e) TSX (Canada), and (f) All Ordinaries (Australia).