Asymmetric Volatility Spillovers between U.S. and TSX Stock Markets

Abstract

This paper using GJR-, E- and DCC-GARCH bi-variate models, and examines the asymmetric volatility spillovers between U.S. and TSX stocks markets using daily returns of 252 Canadian inter-listed stocks for the period 1975-2005. The paper contributes to existing literature by confirming U.S. to be a major transmitter of volatility. Asymmetric co movement and volatility spillovers have increased since 2000. The findings from different models suggest robust inferences on cross-market volatility dynamics are strongly dependent on using more than one multivariate GARCH model.

Keywords: Asymmetric volatility, GARCH model, Stock markets.