In academic research there is lot of literature on spillover between different financial markets (bonds, equity, gold etc.)
I have a conceptual questions
- What is the meaning of shock transmission between two financial markets as seen in m-garch models like BEKK etc.
- What is meaning of volatility spillover between two financial markets as seen in m-garch models like BEKK etc.
I do understand the academic language which states shock transmission mean past news/innovation in market 1 affect current conditional volatility of market 2 (short run)
Second, volatility spillover means past volatility in market 1 effects current conditional volatility of market 2 (long run)
But can someone help and give some real life examples on these things play in real market and how can results be explained to a layman
@S2000magician kindly help sir
Coming back here after long time :