314 VOLATILITY TRANSMISSION PATTERNS BETWEEN THE USA AND SPAINTable 16.5 Summary statistics for the standardized residuals of
the modelPanel A: summary statistics for the standardized residuals of the
total periodε1,t/√
h11,t ε2,t/√
h22,tQ(6) 3.94519 [0.68409] 4.40124 [0.62255]
Q^2 (6) 3.85331 [0.69652] 5.51455 [0.47970]
ARCH(6) 1.25783 [0.97393] 3.26566 [0.77484]
Panel B: summary statistics for the standardized residuals of the
pre-September 11 periodε1,t/√
h11,t ε2,t/√
h22,tQ(6) 1.94140 [0.92501] 3.48928 [0.74540]
Q^2 (6) 2.57484 [0.86000] 12.4568 [0.05252]
ARCH(6) 1.58439 [0.95369] 7.36116 [0.28873]
Panel C: summary statistics for the standardized residuals
of the post-September 11 periodε1,t/√
h11,t ε2,t/√
h22,tQ(6) 4.19449 [0.65037] 1.18848 [0.97745]
Q^2 (6) 5.52306 [0.47867] 2.06753 [0.91338]
ARCH(6) 1.01880 [0.98489] 3.65743 [0.72292]Notes: Q(6) and Q^2 (6) are Ljung–Box tests for sixth order serial correlation in the stan-
dardized residuals and squared residuals. ARCH(6) is Engle’s test for sixth order ARCH,
distributed asχ^2 (6). Thep-value of these tests are displayed as [.].Panel A indicates that, during the total period, the S&P500 volatility is
directly affected by its own volatility (h1,1) but not by the IBEX35 volatility
(h2,2). Our findings suggest that the S&P500 volatility is affected by its own
shocks (ε^21 ) and indirectly by the IBEX35 shocks (ε 1 ε 2 ). Finally, the coefficient
for its own asymmetric term (η^21 ) is significant, indicating that the negative
shocks on the S&P500 returns affect more its volatility than the positive
shocks. Thus, our findings suggest that S&P500 volatility is directly affected
by its own events.
The behavior of the IBEX35 volatility does not differ much from that of the
S&P500 during the total period. The IBEX35 volatility is affected by its own
volatility (h2,2), but not by the S&P500 volatility. Interestingly, the IBEX35
volatility is affected by the S&P500 shocks (ε^21 ) but not by its own shocks