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

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175Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,81.954,3.132)"><path d="M462 177V227H365V632H320C217 496 116 350 21 208V177H284V109C284 43 280 38 190 31V0H451V31C369 38 365 43 365 108V177H462ZM284 227H88C155 336 218 430 282 519H284V227Z"></path></g><g transform="matrix(.013,0,0,-0.013,86.901,0)"><path d="M95 130C70 130 46 113 46 88C46 72 54 64 59 64C93 55 121 33 121 -3C121 -41 93 -68 44 -88L55 -117C117 -98 186 -56 186 22C186 91 131 130 95 130Z"></path></g><g transform="matrix(.013,0,0,-0.013,92.044,0)"><path d="M303 0V28C221 34 213 39 213 125V525C213 610 221 616 303 622V650H38V622C120 616 128 610 128 525V125C128 40 120 34 38 28V0H303Z"></path></g><g transform="matrix(.013,0,0,-0.013,96.32,0)"><path d="M614 175C564 76 510 21 408 21C256 21 146 149 146 336C146 488 235 629 402 629C510 629 570 586 597 480L626 488C620 541 614 582 606 638C578 643 510 665 429 665C206 665 44 527 44 316C44 157 153 -15 402 -15C474 -15 558 5 586 11C604 45 629 119 643 165L614 175Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,104.965,3.132)"><path d="M158 548H390L417 615L410 623H122L83 318C105 326 143 337 185 337C296 337 350 275 350 188C350 116 308 42 225 42C164 42 122 74 100 93C90 101 82 99 72 92C60 82 51 68 50 59C48 46 52 38 66 24C82 9 125 -12 172 -12C225 -11 292 15 346 59C408 108 437 166 437 226C437 309 371 397 242 397C214 397 170 382 133 369L158 548Z"></path></g></svg>,</span> and <svg height="12.0575pt" id="M127" style="vertical-align:-3.2911pt" version="1.1" viewbox="-0.0498162 -8.7664 18.0165 12.0575" width="18.0165pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M303 0V28C221 34 213 39 213 125V525C213 610 221 616 303 622V650H38V622C120 616 128 610 128 525V125C128 40 120 34 38 28V0H303Z"></path></g><g transform="matrix(.013,0,0,-0.013,4.276,0)"><path d="M614 175C564 76 510 21 408 21C256 21 146 149 146 336C146 488 235 629 402 629C510 629 570 586 597 480L626 488C620 541 614 582 606 638C578 643 510 665 429 665C206 665 44 527 44 316C44 157 153 -15 402 -15C474 -15 558 5 586 11C604 45 629 119 643 165L614 175Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,12.921,3.132)"><path d="M141 347C171 480 264 541 327 570C364 587 403 599 436 605L429 641C389 634 339 622 300 609C191 570 37 458 37 239C37 86 126 -12 245 -12C367 -12 454 89 454 210C454 314 380 397 272 397C252 397 230 390 208 380L141 347ZM231 338C323 338 366 257 366 174C366 108 340 27 263 27C180 27 129 123 129 244C129 268 130 292 135 310C158 323 193 338 231 338Z"></path></g></svg> for cluster 2. (a) IC<sub>1</sub>, (b) IC<sub>2</sub>, (c) IC<sub>3</sub>, (d) IC<sub>4</sub>, (e) IC<sub>5</sub>, and (f) IC<sub>6</sub>.</div>

Complexity

fig8

Figure 8

Figure 8: Volatility Similarity and Spillover Effects in G20 Stock Market Comovements: An ICA-Based ARMA-APARCH-M Approach 