Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events

This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spillover Index and the Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets of data, daily realized volatility estimates taken from the Oxford Man RV library, running from the beginning of 2000 to October 2016, for the S&P500 and the FTSE, plus ten years of daily returns series for the New York Stock Exchange Index and the FTSE 100 index, from 3 January 2005 to 31 January 2015. Both data sets capture both the Global Financial Crisis (GFC) and the subsequent European Sovereign Debt Crisis (ESDC). The spillover index captures the transmission of volatility to and from markets, plus net spillovers. The key difference between the measures is that the spillover index captures an average of spillovers over a period, whilst volatility impulse responses (VIRF) have to be calibrated to conditional volatility estimated at a particular point in time. The VIRF provide information about the impact of independent shocks on volatility. In the latter analysis, we explore the impact of three different shocks, the onset of the GFC, which we date as 9 August 2007 (GFC1). It took a year for the financial crisis to come to a head, but it did so on 15 September 2008, (GFC2). The third shock is 9 May 2010. Our modelling includes leverage and asymmetric effects undertaken in the context of a multivariate GARCH model, which are then analysed using both BEKK and diagonal BEKK (DBEKK) models. A key result is that the impact of negative shocks is larger, in terms of the effects on variances and covariances, but shorter in duration, in this case a difference between three and six months.

Stability of a Novel Intraocular Lens Design: Comparison of Two Trifocal Lenses

PURPOSE: To compare visual outcomes, rotational stability, and centration in a randomized controlled trial in patients undergoing cataract surgery who were bilaterally implanted with two different trifocal intraocular lenses (IOLs) with a similar optical zone but different haptic shape. METHODS: Twenty-one patients (42 eyes) with cataract and less than 1.50 D of corneal astigmatism underwent implantation of one FineVision/MicoF IOL in one eye and one POD FineVision IOL in the contralateral eye (PhysIOL, Liège, Belgium) at IOA Madrid Innova Ocular, Madrid, Spain. IOL allocation was random. Outcome measures, all evaluated 3 months postoperatively, included monocular and binocular uncorrected distance (UDVA), corrected distance (CDVA), distance-corrected intermediate (DCIVA), and near (DCNVA) visual acuity (at 80, 40, and 25 cm) under photopic conditions, refraction, IOL centration, haptic rotation, dysphotopsia, objective quality of vision and aberration quantification, patient satisfaction, and spectacle independence. RESULTS: Three months postoperatively, mean monocular UDVA, CDVA, DCIVA, and DCNVA (40 cm) under photopic conditions were 0.04 ± 0.07, 0.01 ± 0.04, 0.15 ± 0.11, and 0.16 ± 0.08 logMAR for the eyes implanted with the POD FineVision IOL and 0.03 ± 0.05, 0.01 ± 0.02, 0.17 ± 0.12, and 0.14 ± 0.08 logMAR for those receiving the FineVision/MicroF IOL. Moreover, the POD FineVision IOL showed similar centration (P > .05) and better rotational stability (P < .05) than the FineVision/MicroF IOL. Regarding halos, there was a minimal but statistically significant difference, obtaining better results with FineVision/MicroF. Full spectacle independence was reported by all patients. CONCLUSIONS: This study revealed similar visual outcomes for both trifocal IOLs under test (POD FineVision and FineVision/MicroF). However, the POD FineVision IOL showed better rotational stability, as afforded by its design.