Time-Frequency Volatility Spillovers among Major International Financial Markets: Perspective from Global Extreme Events
Table 2
Static volatility spillovers in the time domain.
USA
UK
JPN
GER
FRA
CHN
Gold
Oil
Gas
From
Panel 1. (a) Pre-COVID-19 period
USA
32.36
15.69
2.89
13.64
18.01
11.81
3.33
1.17
1.11
67.64
UK
15.08
29.85
0.59
18.75
20.87
12.24
0.95
0.34
1.34
70.15
JPN
16.55
10.86
35.26
8.68
11.86
6.86
4.76
1.56
3.62
64.74
GER
12.93
19.25
0.59
27.21
24.51
11.04
1.37
0.55
2.55
72.79
FRA
15.19
19.75
0.82
22.76
27.28
10.48
1.19
0.62
1.91
72.72
CHN
15.53
16.18
2.76
13.43
15.38
34.43
0.53
0.87
0.88
65.57
Gold
3.63
4.81
1.54
6.57
6.16
4.87
69.06
1.49
1.87
30.94
Oil
4.11
3.34
1.61
3.38
4.47
2.71
3.92
74.24
2.22
25.76
Gas
4.09
3.61
5.59
4.25
4.57
2.43
3.64
2.21
69.62
30.38
To
87.11
93.48
16.4
91.45
105.82
62.43
19.7
8.81
15.5
500.68
Net
19.46
23.33
−48.35
18.67
33.1
−3.14
−11.24
−16.95
−14.88
TCI = 55.63
Panel 1. (b) During the COVID-19 period
USA
31.15
16
6.12
15.71
16.18
8.71
1
4.35
0.79
68.85
UK
13.42
24.95
5.8
19.85
21.05
7.47
1.39
4.9
1.18
75.05
JPN
13.55
13.3
28.32
15.29
14.77
7.06
2.75
3.63
1.33
71.68
GER
13.09
19.56
5.73
24.64
22.22
7.4
2.21
3.96
1.19
75.36
FRA
13.25
20.6
5.54
22.07
24.51
7.14
1.58
4.25
1.07
75.49
CHN
10.83
10.71
7.9
10.86
10.44
40.51
1.45
4.96
2.35
59.49
GOLD
2.72
4.04
3.28
6.42
5.11
2.03
73.67
1.55
1.18
26.33
Oil
7.48
9.44
4.61
7.78
8.54
6.3
1.08
53.38
1.39
46.62
Gas
2.74
4.09
3.26
3.84
3.56
4.63
0.93
2.18
74.78
25.22
To
77.07
97.75
42.24
101.79
101.86
50.74
12.39
29.77
10.48
524.09
Net
8.22
22.7
−29.44
26.43
26.38
−8.75
−13.94
−16.85
−14.74
TCI = 58.23
Panel 1. (c) During the Russia-Ukraine conflict period
USA
29.67
10.67
2.37
13.85
13.97
3.54
13.46
9.55
2.93
70.33
UK
11.5
20.33
7.56
17.86
18.45
3.46
10.71
6.61
3.53
79.67
JPN
12.8
10.59
22.71
12.16
11.88
7.83
7.47
6.53
8.03
77.29
GER
10.45
15.13
4.51
20.28
20.55
2.56
14.08
8.86
3.58
79.72
FRA
10.46
15.31
4.58
20.19
21.09
2.6
14.04
8.53
3.2
78.91
CHN
9.35
2.31
4.36
2.67
2.93
64.82
2.8
2.75
8.01
35.18
Gold
9.26
8.08
3.2
14.23
14.72
3
27.31
16.78
3.41
72.69
Oil
7.95
5.64
5.98
10.81
10.85
7.49
19.56
25.36
6.37
74.64
Gas
7.53
4.29
6.27
8.79
8.41
9.24
9.55
4.81
41.11
58.89
To
79.31
72.03
38.82
100.55
101.75
39.73
91.66
64.41
39.05
627.32
Net
8.98
−7.64
−38.47
20.83
22.85
4.55
18.97
−10.23
−19.84
TCI = 69.70
Note. (i) The TCIs (TCI = 55.63, 58.23, 69.70) are the average values of TCI. (ii) The connectedness results represent average connectedness estimates.
