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Volatility transmission patterns and terrorist attacks

Vereinigtes Königreich
  • Economics
  • Econometrics
  • Risk Management
  • Political Economy
  • Wirtschaft
  • International Asset Pricing
  • Garch Models
  • Multivariate Volatility
  • ÖKonometrie
  • Wirtschaftsstatistik
  • International Finance
  • Wirtschaftsinformatik
  • Volatility Modelling
  • Business Informatics
  • Volkswirtschaftslehre
  • Theory Application
  • Theorieanwendung
  • Economic Statistics


The objective of this study is to analyze volatility transmission between the US and Eurozone stock markets considering the financial market responses to the September 11, March 11 and July 7 terrorist attacks. In order to do this, we use a multivariate GARCH model and take into account the asymmetric volatility phenomenon, the non-synchronous trading problem and the turmoil periods themselves. Moreover, a graphical analysis of the Asymmetric Volatility Impulse-Response Functions (AVIRF) is introduced, which takes into consideration the financial market responses to the terrorist attacks. Results suggest that there is bidirectional and asymmetric volatility transmission and show the different impact that terrorist attacks had on both markets.

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