What are the advantages of Diebold & Yilmaz(2009)spillover Index as compare to other methodologies that are being used to model volatility spillover?

01 October 2019 1 7K Report

How Diebold and Yilmaz (2009) spillover methodology is better than other methodologies which are being used also to capture volatility spillovers e.g. DCC GARCH, BEKK GARCH or two-step GARCH models?

Hrapreet Kaur

Qasim, have you applied DY index? Could you please help me in resolving some of problem i am facing while applying this model

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