Structural Breaks and Volatility Spillovers: The Case of the US and Canadian Stock Markets
Why this work is in the frame
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Bibliographic record
Abstract
This paper investigates the relations of structural breaks and volatility spillovers by using the US and Canadian stock return data. Specifically, applying spillover MGARCH models without and with structural break dummy variables to the two stock returns, this study derives the following interesting evidence. (1) First, we reveal that for both the US and Canadian stock returns, the volatility persistence parameter values in our spillover MGARCH models decline when structural break dummy variables are incorporated. (2) Second, we further clarify that when we do not take structural breaks into account, the spillover effect was unidirectional from Canada to the US. However, when we take structural breaks into consideration, the results from our spillover MGARCH model with structural break dummies demonstrate that the volatility spillover effects between the US and Canada become bidirectional. (3) Third, we furthermore reveal that around the Lehman Brothers bankruptcy in 2008, the time-varying volatilities derived from our spillover MGARCH model with structural break dummy variables show slightly higher values than those volatilities from our spillover MGARCH model with no structural break dummy variable.
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Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.002 | 0.000 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.000 | 0.000 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.000 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it