When Volatility Travels: Mapping Global Spillovers with Rough Multivariate Models
TL;DR for operators Volatility does not politely stay where it starts. A shock in one index can show up elsewhere, not just as a same-day correlation but as a delayed, asymmetric pattern in future volatility. The paper behind this article proposes a multivariate rough-volatility model that tries to capture that behaviour directly: each market has its own roughness and mean reversion, while pairs of markets have parameters governing contemporaneous dependence and time asymmetry.1 ...