Table 3: Spillover Table, Global Stock Market Returns

data("dy2009")
dca = ConnectednessApproach(dy2009, 
                            nlag=2, 
                            nfore=10,
                            model="VAR",
                            connectedness="Time",
                            Connectedness_config=list(TimeConnectedness=list(generalized=FALSE)))
## Estimating model
## Computing connectedness measures
## The (orthogonalized) VAR connectedness approach is implemented according to:
##  Diebold, F. X., & Yilmaz, K. (2009). Measuring financial asset return and volatility spillovers, with application to global equity markets. The Economic Journal, 119(534), 158-171.
kable(dca$TABLE)
US UK FRA GER HKG JPN AUS IDN KOR MYS PHL SGP TAI THA ARG BRA CHL MEX TUR FROM
US 93.62 1.62 1.50 0.04 0.28 0.22 0.11 0.09 0.15 0.29 0.21 0.21 0.34 0.25 0.09 0.12 0.05 0.54 0.28 6.38
UK 40.31 55.75 0.65 0.39 0.15 0.53 0.06 0.18 0.15 0.32 0.17 0.04 0.06 0.14 0.06 0.10 0.02 0.37 0.55 44.25
FRA 38.33 21.72 37.21 0.06 0.03 0.17 0.30 0.34 0.30 0.18 0.24 0.06 0.12 0.25 0.12 0.06 0.14 0.08 0.27 62.79
GER 40.82 15.86 12.99 27.58 0.08 0.06 0.34 0.42 0.56 0.12 0.31 0.29 0.05 0.17 0.04 0.10 0.03 0.07 0.11 72.42
HKG 15.28 8.72 1.67 1.38 69.89 0.26 0.02 0.09 0.02 0.26 0.08 0.02 0.19 0.95 0.30 0.05 0.14 0.32 0.38 30.11
JPN 12.13 3.05 1.80 0.88 2.28 77.69 0.17 0.30 0.28 0.05 0.19 0.34 0.35 0.09 0.11 0.03 0.04 0.09 0.14 22.31
AUS 23.19 5.97 1.30 0.23 6.35 2.34 56.85 0.06 0.44 0.15 0.17 0.16 0.45 0.48 0.12 0.33 0.06 0.63 0.71 43.15
IDN 6.03 1.58 1.21 0.73 6.38 1.64 0.44 76.99 0.74 0.45 0.10 0.93 0.24 1.01 0.66 0.08 0.34 0.10 0.35 23.01
KOR 8.26 2.58 1.31 0.68 5.65 3.73 0.97 1.23 72.76 0.03 0.05 0.11 0.09 1.30 0.19 0.22 0.06 0.08 0.69 27.24
MYS 4.05 2.23 0.58 1.26 10.50 1.50 0.42 6.59 0.53 69.20 0.13 0.13 0.24 1.07 0.10 0.59 0.41 0.17 0.31 30.80
PHL 11.14 1.64 0.26 0.21 8.06 0.40 0.92 7.15 0.13 2.92 62.93 0.30 0.42 1.53 1.55 0.05 0.05 0.12 0.21 37.07
SGP 16.79 4.81 0.65 0.88 18.48 1.34 0.37 3.23 1.55 3.61 1.68 43.07 0.34 1.06 0.84 0.47 0.07 0.32 0.43 56.93
TAI 6.40 1.28 1.17 1.80 5.33 2.82 0.40 0.43 2.03 1.04 1.00 0.91 73.57 0.37 0.76 0.29 0.10 0.28 0.03 26.43
THA 6.30 2.45 0.97 0.69 7.80 0.19 0.79 7.61 4.58 4.02 2.33 2.22 0.30 58.24 0.52 0.20 0.08 0.44 0.28 41.76
ARG 11.86 2.15 1.57 0.09 1.31 0.82 1.33 0.41 0.37 0.62 0.43 0.63 1.05 0.24 75.33 0.06 0.09 1.38 0.27 24.67
BRA 14.06 1.30 1.02 0.66 1.32 1.40 1.60 0.55 0.53 0.69 1.02 0.76 0.12 0.70 7.14 65.82 0.08 0.59 0.65 34.18
CHL 11.81 1.09 1.03 0.03 3.19 0.60 1.39 2.34 0.33 0.31 0.08 0.91 0.34 0.81 2.89 3.98 65.78 2.70 0.42 34.22
MEX 22.18 3.54 1.19 0.44 2.99 0.26 1.24 0.21 0.32 0.88 1.04 0.08 0.33 0.50 5.44 1.59 0.26 56.92 0.58 43.08
TUR 2.99 2.46 0.17 0.74 0.57 0.90 0.64 0.13 0.63 0.28 0.63 0.06 0.88 0.84 0.48 1.05 0.64 0.15 85.76 14.24
TO 291.91 84.07 31.03 11.18 80.75 19.18 11.50 31.36 13.64 16.22 9.87 8.16 5.88 11.76 21.41 9.39 2.65 8.44 6.66 675.03
Inc.Own 385.53 139.81 68.24 38.76 150.64 96.86 68.35 108.35 86.40 85.42 72.80 51.23 79.46 70.00 96.73 75.21 68.42 65.36 92.43 cTCI/TCI
NET 285.53 39.81 -31.76 -61.24 50.64 -3.14 -31.65 8.35 -13.60 -14.58 -27.20 -48.77 -20.54 -30.00 -3.27 -24.79 -31.58 -34.64 -7.57 37.50/35.53
NPT 18.00 17.00 15.00 13.00 14.00 13.00 11.00 9.00 9.00 7.00 8.00 4.00 5.00 5.00 8.00 4.00 2.00 2.00 7.00 
dca = ConnectednessApproach(dy2009, 
                            nlag=2, 
                            nfore=10,
                            window.size=200,
                            model="VAR",
                            connectedness="Time",
                            Connectedness_config=list(TimeConnectedness=list(generalized=FALSE)))
## Estimating model
## Computing connectedness measures
## The (orthogonalized) VAR connectedness approach is implemented according to:
##  Diebold, F. X., & Yilmaz, K. (2009). Measuring financial asset return and volatility spillovers, with application to global equity markets. The Economic Journal, 119(534), 158-171.

Figure 1: Spillover Plot, Global Stock Market Returns and Volatility

PlotTCI(dca, ylim=c(40,60))