Fig. 2

Dynamics of total spillover indexes. Notes Results are based on a VAR model with lag length of order one (AIC) with a 10-step-ahead generalized forecast error variance decomposition and a rolling window of 200 days. Black shaded areas illustrate the total connectedness index (TCI) estimated by the DY12 model while the brown and green-shaded areas represent the shot-term (1–5 days) and long-term (6 days-infinite days), respectively