Table 8

Volatility transmission (MGARCH-BEKK coefficients for BEKK (1,1))

Data used: Log-returns of daily pricesComplete timelinePhase 1Phase 2Phase 3
S&P 500From NIFTY50Perturbance0.1463**0.1332**0.1435**0.1737
  Volatility Transmission0.0307**0.0286**0.0164**0.1571
 To NIFTY50Perturbance0.1308**0.20570.1327**0.0609**
  Volatility Transmission0.2296**0.1504**0.4389*0.0634**
Hang SengFrom NIFTY50Perturbance0.1813**0.21400.1908**0.2779
  Volatility Transmission0.3975**0.5698**0.2052**0.0127***
 To NIFTY50Perturbance0.1594**0.2881*0.1320*0.0968**
  Volatility Transmission0.0460**0.0255**0.3835**0.0985***
Singapore STIFrom NIFTY50Perturbance0.1690**0.1652**0.1980**0.1136**
  Volatility Transmission0.3747**0.3577*0.2009**0.6609***
 To NIFTY50Perturbance0.1555**0.21780.1739**0.1294**
  Volatility Transmission0.0306**0.18000.24470.0959**
Shanghai CoFrom NIFTY50Perturbance0.2072**0.22160.1552**0.1790**
  Volatility Transmission0.1713**0.2348**0.3120**0.1500**
 To NIFTY50Perturbance0.1285**0.18310.1324**0.0967*
  Volatility Transmission0.1749**0.1448**0.43970.0953***
FTSE 100From NIFTY50Perturbance0.2000*0.0787**0.2491**0.1145**
  Volatility Transmission0.0023**0.81810.0009**0.1389**
 To NIFTY50Perturbance0.1111**0.2288**0.1087**0.1027**
  Volatility Transmission0.2792**0.0607**0.5184**0.0628**
Nikkei 225From NIFTY50Perturbance0.1288**0.10690.1293**0.1064**
  Volatility Transmission0.3193**0.2692**0.3136**0.5856
 To NIFTY50Perturbance0.1354**0.2242**0.13710.0791
  Volatility Transmission0.1338**0.1525**0.31120.0346**

Note(s): * means significant at the 10% level, ** means significant at the 5% level and *** means significant at the 1% level

Source(s): Own elaboration

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