Full-Sample Spillover Index
This spillover index measures the percentage of the five-days-ahead forecast error variance for the system as a whole that is explained by bilateral spillovers
Larger values indicate stronger bilateral spillovers
The spillover index is much higher in both tails than in the centre of the conditional distribution
The spillover index evaluated at the conditional mean by OLS is shown as a dashed gray line
OLS overestimates spillover activity in the middle of the conditional distribution and underestimates it in both tails
