Confusion on how total spillover relationship by bekk garch

[curiousresearcher]

Dear Friends,

In the paper titled "Features of spillover networks in international financial markets: Evidence from the G20 countries". The author states that the total volatility spillover is the sum of coefficients of A and B. Further, he states that there are a total of 342 linkages.

I have some fundamental queries,

1) How has the author arrived at the the figures of 268,327, 295, 256, 256 and 257 spillover relationship for 19 stock indices. Should there not be 342 linkages for both the shock transmission and volatility spillover effect which should be analyzed separately ?

My guess - The author considers if either A or B coefficient is significant then it will be considered as 1 count. Is this correct assumption?

2) How has the author arrived at the rankings of various stock indices as sender and receiver?

My initial results - If i use the methodology mentioned in point 1 (my guess), then my ranks for stock indices are coming out to be very different.

The appendix stating the coefficients are available at http://dx.doi.org/10.1016/j.physa.2017.03.016

Kindly advise.

[TomDoan]

First, that's behind a pay wall (even the appendices). Second, "spillover" measures in BEKK models can be solely an artifact of choosing the BEKK form over an alternative. (See "Spillover/Causality in Variance Tests"). To treat the results of a large number of those as basically "data" in generating a network seems like a bad idea.