Fig. 7

Time-varying spillover and relative tail dependence. a Conditional mean, b relative tail dependence. Notes: This figure shows the value of the spillover index defined in (6) evaluated at the mean (shown as the blue line in panel (a)) and the difference between the spillover index at the 95th and 5th conditional quantiles (shown as the red line in panel (b)). The results are obtained from rolling regressions with a window length of 200 trading days, lag order of 1 day and forecast time horizon of 12 days. The dates shown correspond to the last day of each rolling window