Fig. 2

Contagion Level for Full Sample, nine asset classes. Note: This figure shows the dynamic spillovers for all variables over the full sample period. The y-axis represents the total percentage of contagion levels. Figure 2 uses a 100-day rolling window and a 10-day forecast horizon. The following two figures use the same parameters. Using other rolling windows and forecast horizons only makes the pattern more or less smooth than that in Fig. 2, without impacting the outcomes or conclusions of this study