Volatility Spillovers Among EAGLE Economies: Insights from Frequency-Based TVP-VAR Connectedness

This study aims to reveal the network connectedness between the volatilities of Emerging and Growth-Leading Economies (EAGLEs) stock exchanges with the frequency-based TVP-VAR connectedness approach. Connectedness results were obtained in short (1–5 days) and long (5-inf) period frequencies among the volatilities obtained with the Garman–Klass volatility estimator. According to the dynamic TCI results, connectivity peaked during the COVID-19 and Russia–Ukraine War periods. BVSP is the most dominant transmitter of the network and spreads the most effect to the emerging markets. As a result of the pairwise metrics, SSE has the lowest values and is positioned as a relatively independent market in the network. In particular, SSE has almost no connection with BIST in the short term, while it has a more significant effect on BIST in the long term. Moreover, the connectedness metrics show that MOEX is in a neutral position in the network and is largely affected by its internal dynamics.