Estimation of Volatilities and Spillover Effects Between Developed and Emerging Market Economies
This study focuses on establishing the existence of volatility spillover effects between stock indices that represent developed and emerging markets. We employ a CGARCH(1,1) model, which distinguishes between the short-term (transitory) and long-term (permanent) conditional variance, allowing us to simultaneously examine the time trends of changes in volatility and spillover effects between develo