Advances in Risk Management

318 VOLATILITY TRANSMISSION PATTERNS BETWEEN THE USA AND SPAIN

1

0.05

0.00

0.05

0.10

0.15

0.20

0.25

0.30

10 19 28 37 46 55

Days

A. A positive shock in the S&P500

AVIRF S&P500

64 73 82 91 100

1

0.05

0.00

0.05

0.10

0.15

0.20

0.25

0.30

10 19 28 37 46 55

Days

C. A positive shock in the S&P500

AVIRF IBEX35 AVIRF IBEX35

64 73 82 91 100

1

0.05

0.00

0.05

0.10

0.15

0.20

0.25

0.30

10 19 28 37 46 55

Days

B. A positive shock in the IBEX35

AVIRF S&P500

64 73 82 91 100

1

0.05

0.00

0.05

0.10

0.15

0.20

0.25

0.30

10 19 28 37 46 55

Days

D. A positive shock in the IBEX35

64 73 82 91 100

Figure 16.2AVIRF to positive unexpected shocks from the VAR-asymmetric
BEKK. Total period (dashed lines display the 90% confidence interval)

September 11, as suggested by the wide confidence intervals, but it becomes
significant after the terrorist attack. However, the reverse is only detected in
the post-September 11, although the effect is almost imperceptible (Figures
16.2-B, 16.4-B and 16.6-B).
If unexpected shocks are negative, Figures 16.3, 16.5 and 16.7 show that
thereisonlysignificantvolatilityspilloverfromtheS&P500totheIBEX35.As
in the case of a positive shock, it becomes significant only after September 11.
Negative shocks in the IBEX35 have an important effect on its own volatility
that takes about 40 days to be absorbed when the whole sample is analyzed
(Figure 16.3-D). This effect also becomes significant only after September 11
(Figures 16.3-D and 16.7-D) but not before (Figure 16.5-D). Negative shocks
in the S&P500 also have an important effect on its own volatility that takes
more than 100 days to be absorbed in all analyzed periods (Figures 16.3-A,
16.5-A and 16.7-A).
By comparing positive and negative shocks coming from the IBEX35,
we can observe that they have a different impact on its own volatility.