Time-Frequency Volatility Spillovers among Major International Financial Markets: Perspective from Global Extreme Events

Table 4

Static volatility spillovers in the frequency domain (medium-term).

	USA	UK	JPN	GER	FRA	CHN	Gold	Oil	Gas	From
Panel 1. (a) Pre-COVID-19 period
USA	2.48	1.22	0.6	1.36	1.4	0.72	0.13	0.39	0.11	5.94
UK	1.65	2.65	0.72	2.22	2.4	0.81	0.19	0.6	0.19	8.78
JPN	2.19	2.25	3.55	2.63	2.57	1.11	0.43	0.6	0.22	12.01
GER	1.61	2.12	0.67	2.75	2.54	0.82	0.29	0.5	0.17	8.72
FRA	1.63	2.24	0.68	2.47	2.8	0.79	0.17	0.53	0.18	8.7
CHN	1.19	1.02	0.84	1.34	1.22	4.82	0.26	0.56	0.32	6.75
Gold	0.36	0.68	0.46	1.11	0.92	0.32	9.1	0.24	0.17	4.25
Oil	1.01	1.35	0.68	1.23	1.36	0.81	0.13	3.75	0.23	6.8
Gas	0.08	0.1	0.15	0.14	0.11	0.34	0.09	0.1	7.99	1.12
To	9.71	10.99	4.81	12.51	12.51	5.72	1.7	3.52	1.6	63.07
Net	3.78	2.21	−7.2	3.78	3.81	−1.03	−2.55	−3.28	0.47	TCI = 7.01
Panel 1. (b) During the COVID-19 period
USA	4.15	2.69	0.13	2.03	2.73	2.24	0.08	0.08	0.21	10.18
UK	2.72	4.44	0.06	2.52	2.97	2.33	0.03	0.04	0.19	10.87
JPN	0.98	1.22	2.2	1	0.94	1.85	0.02	0.06	0.13	6.21
GER	2.48	3.39	0.08	3.88	3.81	2.31	0.03	0.05	0.24	12.39
FRA	2.41	2.98	0.05	2.75	3.48	1.93	0.03	0.05	0.24	10.44
CHN	3.27	3.43	0.26	2.52	2.97	6.06	0.06	0.09	0.11	12.72
Gold	0.47	0.71	0.08	1.05	0.83	0.7	5.23	0.06	0.22	4.12
Oil	0.57	0.33	0.15	0.27	0.36	0.14	0.23	5.12	0.2	2.24
Gas	0.24	0.3	0.18	0.43	0.33	0.36	0.05	0.27	7.53	2.16
To	13.15	15.05	0.99	12.57	14.94	11.85	0.53	0.71	1.55	71.33
Net	2.97	4.18	−5.22	0.17	4.5	−0.88	−3.59	−1.53	−0.61	TCI = 7.93
Panel 1. (c) During the Russia-Ukraine conflict period
USA	2.67	3.51	2.66	3.2	1.68	1.49	0.77	0.56	1.06	14.93
UK	2.03	5.2	2.9	4.76	2.78	1.45	1.28	0.26	2.45	17.91
JPN	1.74	3.13	2.83	3.12	1.61	1.1	0.74	0.82	0.93	13.19
GER	1.42	3.51	3.17	4.53	2.31	1.39	1.25	0.32	1.42	14.79
FRA	1.5	3.42	3.04	4.08	2.2	1.23	1.08	0.31	1.43	16.08
CHN	2.13	1.99	2.24	1.6	0.97	3.48	0.52	0.5	0.56	10.51
Gold	0.64	1.89	1.74	3.54	1.74	1.3	2.21	0.67	1.09	12.61
Oil	0.83	1.22	1.32	2.43	1.31	1.82	1.74	2.05	0.58	11.25
Gas	0.12	0.38	0.17	0.38	0.24	0.09	0.23	0.14	0.62	1.75
To	10.41	19.06	17.23	23.11	12.64	9.86	7.6	3.59	9.5	113.01
Net	−4.52	1.15	4.03	8.32	−3.44	−0.64	−5	−7.66	7.76	TCI = 12.56

Note. (i) The TCIs (TCI = 7.01, 7.93, 12.56) are the average values of TCI. (ii) The connectedness results represent average connectedness estimates.