Modelling time-varying volatility interactions

doi:10.1016/j.irfa.2026.105098

Modelling time-varying volatility interactions

2026-01-20

0

PRE

AI

S

Susana Campos-Martins

C

Cristina Amado *

DOI：10.1016/j.irfa.2026.105098

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• We propose an additive time-varying (or partially time-varying) multivariate model of volatility, where a time-dependent component is added to the extended vector GARCH process for modelling the dynamics of volatility interactions. • The estimation of the new time-varying vector GARCH process is simplified using an equation-by-equation estimator. • A Lagrange multiplier test is derived for testing the null hypothesis of constancy co-dependence volatility against a smoothly time-varying interdependence between financial markets. • An application to sovereign bond yields illustrates the modelling strategy and the usefulness of the new specification.

Modelling time-varying volatility interactions

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