Evaluation of volatility spillovers for asymmetric realized covariance

Abstract

This study proposes a new method for evaluating volatility spillovers in asymmetric realized covariance. The proposed method uses the realized semicovariance model, which decomposes the realized covariance based on positive and negative intraday returns. This method enables the measurement of volatility spillovers for both realized semivariance and asymmetric realized covariance. Asymmetric covariance spillovers are clearly observed when the method is applied to high-frequency data from major ETFs. Furthermore, our results demonstrate that accounting for asymmetric covariances plays an important role in the measurement of volatility spillovers.