Bootstrapping volatility spillover index

Ji Eun Choi, Dong Wan Shin

Research output: Contribution to journalArticlepeer-review

2 Scopus citations


Concentrating on confidence interval, a bootstrapping method is developed for volatility spillover index proposed by Diebold and Yilmaz via a vector autoregressive (VAR) model. The method is based on residual based bootstrapping with normal pivot which is a winner of a Monte-Carlo comparison of several possibly competitive methods. The Monte-Carlo simulation demonstrates finite sample validity of the bootstrap confidence interval. The proposed method is illustrated by standard errors and confidence interval estimation for the volatility spillover indexes of various financial real data sets.

Original languageEnglish
Pages (from-to)66-78
Number of pages13
JournalCommunications in Statistics: Simulation and Computation
Issue number1
StatePublished - 2 Jan 2020

Bibliographical note

Funding Information:
This study was supported by a grant from the National Research Foundation of Korea (2016R1A2B4008780). The authors appreciate very much the constructive comments of a referee which lead us to a substantial improvement of the paper.

Publisher Copyright:
© 2018, © 2018 Taylor & Francis Group, LLC.


  • Bootstrapping
  • Confidence interval
  • Pivot
  • Residual bootstrapping
  • Volatility spillover


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