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% UQO Working Paper No. 6
% Intraday Volatility Transmission Across Asset Classes:
% A Connectedness Analysis of Equities, Fixed Income, Commodities,
% and Cryptocurrencies
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  pdfauthor   = {Simon-Pierre Boucher},
  pdftitle    = {Intraday Volatility Transmission Across Asset Classes},
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  pdfkeywords = {realized volatility, spillovers, connectedness, high-frequency}
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% METADATA
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\newcommand{\WPnumber}{6}
\newcommand{\WPtitle}{Intraday Volatility Transmission Across Asset Classes: A Connectedness Analysis of Equities, Fixed Income, Commodities, and Cryptocurrencies}
\newcommand{\WPsubtitle}{}
\newcommand{\WPdate}{May 2026}
\newcommand{\WPversion}{1.0}
\newcommand{\WPabstract}{%
This paper investigates intraday volatility transmission across equities, foreign exchange, commodities, and cryptocurrency markets using 5-minute OHLCV data spanning 2008--2026. We construct daily realized volatility measures from over 235 million intraday observations across 10 representative instruments and apply the \citet{DieboldYilmaz2012} generalized variance decomposition framework within a VAR(4) model at a 10-day forecast horizon. Our full-sample analysis reveals a total spillover index of 55.44\%, with U.S.\ equity index futures (ES, NQ) serving as the dominant volatility transmitters (net spillovers of $+26.80\%$ and $+19.72\%$, respectively), while the VIX acts primarily as a volatility receiver ($-23.37\%$). Cryptocurrencies (BTC, ETH) remain largely isolated from traditional asset volatility networks, with own-shock contributions exceeding 77\%. Rolling 200-day connectedness analysis uncovers substantial time variation, with the total spillover index peaking at 81.55\% during the February 2018 volatility implosion. Regime-specific analysis reveals dramatic shifts in the volatility hierarchy: during the COVID-19 crash, USD/JPY emerges as the dominant shock originator ($+60.29\%$), while equity futures flip from transmitters to receivers. During the 2022 rate-hiking cycle, Bitcoin transitions to a net volatility transmitter ($+7.90\%$), suggesting growing integration of crypto markets with the traditional financial system. Intraday analysis of trading sessions shows that Bitcoin maintains near-uniform volatility across Asian, European, and U.S.\ hours, contrasting sharply with the session-dependent patterns of equity and VIX markets. Granger causality tests confirm that equity futures significantly lead VIX changes ($F=19.86$, $p<0.001$), while crypto markets remain causally independent. These findings have important implications for portfolio construction, risk management, and the monitoring of systemic risk across increasingly interconnected global markets.%
}
\newcommand{\WPkeywords}{realized volatility, volatility spillovers, Diebold--Yilmaz connectedness, high-frequency data, cross-asset transmission, cryptocurrency, systemic risk}
\newcommand{\WPjel}{C32, C58, G12, G15, G17}

% --- Author ---
\newcommand{\WPauthor}{Simon-Pierre Boucher}
\newcommand{\WPaffiliation}{%
  D\'epartement des sciences administratives\\
  Universit\'e du Qu\'ebec en Outaouais%
}
\newcommand{\WPemail}{simon-pierre.boucher@uqo.ca}
\newcommand{\WPaddress}{%
  Gatineau -- Pavillon Alexandre-Tach\'e\\
  283, boulevard Alexandre-Tach\'e\\
  Gatineau, Qu\'ebec, Canada J9A 1L8%
}

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\input{sections/literature}
\input{sections/methodology}
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\input{sections/results}
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