Advances in Risk Management

322 VOLATILITY TRANSMISSION PATTERNS BETWEEN THE USA AND SPAIN

1

0.05

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91725334149

Days

A. A positive shock in the S&P500

AVIRF S&P500

57 65 73 81 89 97 1

0.05

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10 19 28 37 46 55

Days

B. A positive shock in the IBEX35

AVIRF S&P500

64 73 82 91 100

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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

64 73 82 91 100 1

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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

AVIRF IBEX35

64 73 82 91 100

Figure 16.6AVIRF to positive unexpected shocks from the

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

the 90% confidence interval)

after 11 September 2001. In order to do this, we have used a multivari-
ate GARCH model and taken into account both the asymmetric volatility
phenomenon and the non-synchronous trading problem. In particular, an
asymmetric VAR-BEKK model has been estimated both before and after the
terrorist attack, with daily stock market prices recorded at 16:00 Spanish
time for the USA (S&P500 index) and Spain (IBEX35 index).
We also present a complementary analysis, the Asymmetric Volatility
Impulse Response Functions (AVIRF), which distinguishes effects coming
from a positive shock from those coming from a negative shock.
The results confirm that there exist own asymmetric volatility effects
in both markets and that volatility transmission from the USA to Spain
increased after September 11. Before the event, volatilities in the S&P500
and IBEX35 were only affected by their own past volatilities. However, after
September11, theIBEX35volatilitybecomesaffectedbyvolatilityandshocks