Asymmetric volatility spillovers : revisiting the Diebold-Yilmaz (2009) spillover index with realized semivariance
Abstract
Based on the negative and positive realized semivariances developed in Barndorff- Nielsen et al. (2010), we modify the volatility spillover index devised in Diebold and Yilmaz (2009). The resulting asymmetric volatility spillover indices are easy to compute and account well for negative and positive parts of volatility.
We apply the modified indices on the 30 U.S. stocks with the highest market capitalization over the period 2004-2011 to study intra-market spillovers. We provide evidence of sizable volatility-spillover asymmetries and a markedly different pattern of spillovers during periods of economic ups and downs.