1. Note: The results are obtained using the VAR of order 7, where the number of lags were determined by the Akaike information criterion, and the forecast horizon of 10 days. The diagonal figures of the matrix represent own contributions of the ith stock market. The off-diagonal elements provide information on pairwise volatility spillovers. The figures in the off-diagonal columns show the directional spillovers from the ith stock market to all other stock markets j, and the row labelled "To Others" sums the off-diagonal column values. The figures in the off-diagonal rows display the directional spillovers from all stock markets j to the ith stock market, and the column labelled "From Others" sums the off-diagonal row figures. The row labelled "Net" captures the total net directional volatility spillovers. The percentage value at the bottom right corner represents the total spillover in the system with ten stock markets;M Assaf;International Review of Financial Analysis,2022
2. Filling in the blanks: Network structure and interbank contagion;K Anand;Quantitative Finance,2015
3. Illiquidity, return and risk in G7 stock markets: interdependencies and spillovers;A Andrikopoulos;International Review of Financial Analysis,2014
4. Volatility Spillover Effects in European Equity Markets;L Baele;The Journal of Financial and Quantitative Analysis,2005