Time-varying volatility spillover between Chinese fuel oil and stock index futures markets based on a DCC-GARCH model with a semi-nonparametric approach

This paper reveals some new evidence on the volatility spillover between fuel oil and stock index futures markets in China by considering its time-variant feature. Time-varying effect is specified by the Legendre polynomials in a DCC GARCH model. Moreover, the semi-nonparametric (SNP) approach accounting for marginal excess kurtosis and asymmetry is applied. We find different time-evolving patterns of volatility spillover across multiple periods...