The Volatility Spillover effect between the T-Note Spot and Futures Markets Evidence from China, Germany and United States

摘要

This paper examines the volatility spillover effects in Treasury note markets, spot and futures markets, within and between three selected countries, China, Germany and United States. Two comprehensive explanatory methods, asymmetric BEKK MGARCH and asymmetric DCC MGARCH, are utilized to estimate interactions between markets and between countries. Compelling evidences show the presence of such volatility spillover effects between spot and futures markets for each targeted country. These spillover effects are also evident between the cross-border futures markets. However the existence of these effects are insignificant for spot markets between countries.