Advances in Risk Management

HELENA CHULIÁ ET AL. 321

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 negative 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

B. A negative 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 negative shock in the IBEX35

AVIRF IBEX35

1 64 73 82 91 100

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 negative shock in the S&P500

AVIRF IBEX35

64 73 82 91 100

Figure 16.5AVIRF to negative unexpected shocks from the

VAR-asymmetric BEKK. Pre-September 11 period (dashed lines display

the 90% confidence interval)

analysis shows that, after September 11, any volatility shock coming from
the S&P500 is directly affecting the IBEX35 but the reverse is not true in
any period (it exists in the case of positive shocks in the post-September 11
period, but the effect is hardly noticeable). Moreover, a negative shock in
the S&P500 is more persistent than a positive shock. Therefore, it can be
said that the main source of information comes from negative unexpected
returns arising from the S&P500 and it spreads into the Spanish market.

16.5 Conclusion

The main objective of this study has been to analyze whether volatility trans-
mission patterns between the US and Spanish stock markets have changed