Table 5.

Total and net dynamic connectedness averages based on different TVP-VAR lag orders

	Net spillovers								TCI
	China	France	Germany	Italy	Russia	Spain	UK	US
Returns
$k=1$	−21.86	19.522	12.199	6.941	−21.509	8.985	3.649	−7.926	65.346
$k=2$	−22.16	19.457	11.983	7.568	−21.682	9.451	3.992	−8.609	65.747
$k=3$	−24.241	19.847	12.754	7.951	−21.72	8.693	1.682	−4.966	66.033
$k=4$	−24.888	20.192	12.572	8.018	−21.259	8.779	2.696	−6.111	66.646
$k=5$	−27.521	20.388	13.076	8.267	−20.806	9.377	3.879	−6.661	67.491
Positive returns
$k=1$	−16.885	18.911	12.268	6.062	−20.077	7.234	1.894	−9.406	61.378
$k=2$	−18.905	19.165	11.719	6.899	−20.444	7.741	3.573	−9.748	62.452
$k=3$	−13.386	18.667	10.69	4.896	−19.964	7.244	0.301	−8.447	59.999
$k=4$	−16.58	18.404	10.899	5.715	−19.541	7.83	0.561	−7.288	60.907
$k=5$	−17.39	18.053	10.441	6.335	−20.001	8.289	0.754	−6.481	61.869
Negative returns
$k=1$	−30.015	21.141	13.197	7.796	−20.678	10.021	−0.929	−0.532	66.516
$k=2$	−27.667	20.847	13.23	8.035	−21.479	9.496	0.121	−2.582	66.565
$k=3$	−28.208	19.29	10.69	9.633	−16.894	9.068	−2.017	−1.561	63.988
$k=4$	−27.422	18.559	11.209	10.035	−17.457	9.475	−1.783	−2.616	64.428
$k=5$	−29.064	18.888	11.153	10.673	−18.446	9.631	−0.651	−2.185	65.341

This table contains the averages of the dynamic total and net spillover indices based on the TVP-VAR model with lag order between 1 and 5