Time-Frequency Volatility Spillovers among Major International Financial Markets: Perspective from Global Extreme Events
Table 3
Static volatility spillovers in the frequency domain (short-term).
USA
UK
JPN
GER
FRA
CHN
Gold
Oil
Gas
From
Panel 1. (a) Pre-COVID-19 period
USA
24.47
11.77
2.17
10.97
14.33
8.8
2.49
0.8
0.8
52.12
UK
10.76
22.46
0.39
14.11
15.56
8.53
0.79
0.22
0.97
51.34
JPN
14.08
9.34
30.5
7.66
10.74
4.85
3.71
1.22
3.41
55.01
GER
8.83
13.67
0.4
20.56
18.09
7.42
1.17
0.39
2.03
52
FRA
11.26
14.98
0.67
18.13
21.56
7.62
1
0.45
1.53
55.64
CHN
10.34
10.7
1.97
9.02
10.24
24.1
0.42
0.61
0.52
43.81
Gold
2.83
3.71
1.25
5.07
4.78
3.84
60.18
1.23
1.59
24.31
Oil
3.28
2.66
1.06
2.23
3.31
2.03
3.33
66.33
1.7
19.6
Gas
2.92
2.76
4.29
2.83
3.2
1.68
2.75
1.79
59.52
22.22
To
64.32
69.56
12.2
70.03
80.26
44.77
15.65
6.72
12.54
376.05
Net
12.2
18.22
−42.81
18.03
24.62
0.96
−8.66
−12.88
−9.68
TCI = 41.78
Panel 1. (b) During the COVID-19 period
USA
27.32
13.89
5.49
13.53
13.89
7.56
0.84
4.1
0.73
60.02
UK
11.25
20.75
4.75
16.38
17.31
6.12
1.14
4.16
0.94
62.04
JPN
10.46
10.19
21.96
11.62
11.16
5.42
2.11
2.67
0.95
54.57
GER
10.95
16.25
4.73
20.33
18.26
6.08
1.83
3.36
0.97
62.42
FRA
11.03
17.09
4.54
18.22
20.16
5.85
1.35
3.61
0.85
62.53
CHN
8.98
9.01
6.6
8.95
8.58
33.04
1.17
4.35
1.96
49.6
Gold
2.2
3.15
2.61
4.97
3.91
1.57
59.42
1.16
0.92
20.49
Oil
5.89
7.72
3.94
6.19
6.82
5.25
0.89
46.21
1.22
37.92
Gas
2.54
3.75
3.01
3.47
3.19
4.03
0.82
2.01
63.58
22.82
To
63.3
81.05
35.67
83.32
83.11
41.88
10.13
25.42
8.54
432.43
Net
3.27
19
−18.9
20.9
20.58
−7.72
−10.36
−12.5
−14.28
TCI = 48.05
Panel 1. (c) During the Russia-Ukraine conflict period
USA
16.09
5
11.63
3.84
4.98
15.9
3.47
6.38
4.27
55.47
UK
7.1
6.68
8.8
6.08
6.52
11.65
4.7
5.42
6.13
56.4
JPN
10.54
4.75
13.73
5.7
6.6
14.46
5.86
9.55
4.27
61.73
GER
5.37
6.39
12.33
12.25
10.58
7.3
8.27
6.73
5.81
62.78
FRA
5.64
6.36
11.69
11.56
11
8.73
8.04
7.05
4.89
63.96
CHN
13.06
5.86
8.41
4.02
5.47
24.56
4.16
9.94
4.97
55.89
Gold
7.4
3.87
11.95
7.86
7.38
7.47
14.97
13.8
7.32
67.04
Oil
8.3
3.27
9.25
6.41
6.22
7.94
11.98
22.12
7.65
61.04
Gas
12.7
4.74
20.72
5.1
6.82
14.73
6.18
8.73
13.72
79.73
To
70.11
40.25
94.79
50.57
54.58
88.18
52.66
67.59
45.32
564.04
Net
14.64
−16.16
33.06
−12.21
−9.38
32.29
−14.39
6.56
−34.41
TCI = 62.67
Note. (i) The TCIs (TCI = 41.78, 48.05, 62.67) are the average values of TCI. (ii) The connectedness results represent average connectedness estimates.
