Better to give than to receive: Predictive directional measurement of volatility spillovers

Table 2: Volatility Spillover Table, Four Asset Classes

data("dy2012")
dca = ConnectednessApproach(dy2012, 
                            nlag=4, 
                            nfore=10,
                            model="VAR",
                            connectedness="Time",
                            Connectedness_config=list(TimeConnectedness=list(generalized=TRUE)))

## Estimating model

## Computing connectedness measures

## The (generalized) VAR connectedness approach is implemented according to:
##  Diebold, F. X., & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57-66.

kable(dca$TABLE)

	SP500	R_10Y	DJUBSCOM	USDX	FROM
SP500	88.76	7.29	0.35	3.61	11.24
R_10Y	10.21	81.45	2.73	5.61	18.55
DJUBSCOM	0.47	3.70	93.69	2.14	6.31
USDX	5.69	7.03	1.55	85.73	14.27
TO	16.37	18.01	4.62	11.36	50.37
Inc.Own	105.13	99.46	98.31	97.10	cTCI/TCI
NET	5.13	-0.54	-1.69	-2.90	16.79/12.59
NPT	3.00	2.00	0.00	1.00

dca = ConnectednessApproach(dy2012, 
                            nlag=4, 
                            nfore=10,
                            window.size=200,
                            model="VAR",
                            connectedness="Time",
                            Connectedness_config=list(TimeConnectedness=list(generalized=TRUE)))

## Estimating model

## Computing connectedness measures

## The (generalized) VAR connectedness approach is implemented according to:
##  Diebold, F. X., & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57-66.

Figure 2. Total Volatility Spillovers, Four Asset Classes

PlotTCI(dca, ylim=c(5,35))

Figure 3. Directional Volatility Spillovers, TO Four Asset Classes

PlotTO(dca)

Figure 4. Directional Volatility Spillovers, FROM Four Asset Classes

PlotFROM(dca)

Figure 5. Net Volatility Spillovers, Four Asset Classes

PlotNET(dca)

Figure 6. Net Pairwise Volatility Spillovers

PlotNPDC(dca)