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. 2021 Apr 2;75:101754. doi: 10.1016/j.irfa.2021.101754

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Fig. 4 — Time-varying spillover. (a) Spillover based on the system of realized volatilities. (b) Spillover based on the system of asymmetry measure (SAM). (c) Spillover based on the system of frequency-domain asymmetry measure (SAM). Notes: The spillover asymmetry measure has w = 100 and h = 5 trading days. The shaded area (yellow) is the COVID-19 impact period starting on February 4, 2020. In Panel (b), negative values imply higher negative spillover, and vice versa. In Panel (c), the blue (red) line shows the short- and long-run asymmetry.