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The global common volatility index (below) is available for download on V-Lab.
See Engle and Campos-Martins (2023) What are the events that shake our world? Measuring and hedging global COVOL. Journal of Financial Economics 147: 221-242.
R package tvgarch for time varying GARCH modelling
See Campos-Martins and Sucarrat (2024) Modeling Nonstationary Financial Volatility with the R Package tvgarch. Journal of Statistical Software 108: 1–38.
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