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

Figure 7

The volatility spillovers from DAX (Germany), CAC 40 (France), FTSE 100 (UK), MIB (Italy), TSX (Canada), and All Ordinaries (Australia) to S&P 500 (US).