Portal de Periódicos da CAPES

Structural models: Intra/Inter-day volatility transmission and spillover persistence of the HSI, HSIF and S&P500 futures

1998; Elsevier BV; Volume: 7; Issue: 1 Linguagem: Inglês

10.1016/s1057-5219(99)80036-2

1873-8079

Gerard Gannon, Daniel F. S. Choi,

Monetary Policy and Economic Impact

An example is provided in this paper of a structural simultaneous volatility model which captures dominating volatility transmission from the Hang Seng Index Futures to the Hang Seng Index. This structure is different to multivariate GARCH structures by accounting for endogenous volatility effects in the system. Volatility spillovers from the Standard and Poors 500 Index Futures are embedded within the structural system and found to be very important. This structure jointly accounts for intra-day (15 minute) volatility effects and inter-day volatility effects across the Hong Kong asset price processes. Structural error correction effects enter the second round maximum likelihood system estimator providing sharp estimates of identifiable parameters of interest.