Dernière version : 12 septembre, 2023

Volatility Connectedness Analysis

Total Connectedness Index (TCI)


Connectedness Measures


Pairwise Connectedness Measures


Net Pairwise Connectedness Measures


Y30


Y30YTIPS


Y10


Y10YTIPS


Y7


Y5


Y5YTIPS


Y3


Y2


Y1


M6


M3


M1


Methodology

Connectedness Table: Connectedness table proves central for understanding the various connectedness measures and ther relationships. Its main upper-left NxN block contains the variance decomposition (variance decomposition matrix). From a connectedness perspective, they measure pairwise directional connectedness. The connectedness table makes clear how one begin with the most disaggregated connectedness measures and aggregate them in a various ways to obtain macroeconomic economy-wide total directional and total connectedness.
Pairwise Connectedness Graph: Pairwise Connected Graph is a stringball representation of pairwise directional connectedness.
Net Pairwise Connectedness Graph: Net Pairwise Connected Graph is a stringball representation of net pairwise directional connectedness.
Total Connectedness Index: Total Connectedness Index express the total cross-variance contribution as a percent of total variance.
Plot TO: Dynamic total directional connectedness plot.
Plot FROM: Dynamic from total directional connectedness plot.
Plot NET: Dynamic net total directional connectedness plot.