Exploring Dynamic Volatility Transmission in Canadian and Global Financial Markets
Bibliographic record
Abstract
This paper investigates the volatility transmission between the S&P/TSX and key global financial markets, including the S&P500, Gold, VIX, WTI, and Brent Crude Oil (BO), using the Dynamic Correlation-Multivariate Stochastic Volatility (DC-MSV) model. By analyzing daily market index returns, the study uncovers dynamic volatility interactions and spillovers, providing valuable insights into how shocks in one market can affect others. The findings reveal significant bidirectional volatility transmission between the S&P/TSX and S&P500, with notable unidirectional spillovers to Gold and WTI. The results have important implications for financial professionals, especially in Canada, where market volatility and global economic dynamics directly impact investment strategies and risk management. This paper contributes to the literature by offering a comprehensive understanding of volatility transmission across diverse markets and its relevance for portfolio diversification, economic forecasting, and policy formulation.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.000 | 0.003 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.001 | 0.003 |
| Science and technology studies | 0.001 | 0.001 |
| Scholarly communication | 0.002 | 0.001 |
| Open science | 0.000 | 0.001 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.002 | 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 itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".