Advances in Risk Management

HELENA CHULIÁ ET AL. 323

0.05

0.00

0.05

0.10

0.15

0.20

0.25

0.30

Days

A. A negative shock in the S&P500

AVIRF S&P500

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

C. A negative shock in the S&P500

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

D. A negative shock in the IBEX35

AVIRF IBEX35

64 73 82 91 100

1 9 17 25 33 41 49 57 65 73 81 89 97

Figure 16.7AVIRF to negative unexpected shocks from the

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

the 90% confidence interval)

in the S&P500, and the S&P500 volatility becomes affected by its own shocks.
Therefore, these results show that, after the terrorist attack, there has been
an increase in the volatility transmission between the USA and Spain. These
results agree with Hon, Strauss and Yong (2004), suggesting that interna-
tional stock markets respond more closely to US stock market shocks after
the crisis than before.

NOTES

1. See Koutmous and Booth (1995), Karolyi (1995), Karolyi and Stulz (1996), Darbar
   and Deb (1997), Ramchand and Susmel (1998), Brooks and Henry (2000), Longin
   and Solnik (2001), Martens and Poon (2001) and Bera and Kim (2002).


2. A special issue of theEconomic Policy Reviewof the Federal Reserve Bank of New
   York (2002, vol. 8, no. 2) analyzes general economic consequences of September 11.