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Spatial and spatiotemporal volatility models: A review
Author(s) -
Otto Philipp,
Doğan Osman,
Taşpınar Süleyman,
Schmid Wolfgang,
Bera Anil K.
Publication year - 2025
Publication title -
journal of economic surveys
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.657
H-Index - 92
eISSN - 1467-6419
pISSN - 0950-0804
DOI - 10.1111/joes.12643
Subject(s) - economics , volatility (finance) , econometrics , spatial econometrics
Abstract Spatial and spatiotemporal volatility models are a class of models designed to capture spatial dependence in the volatility of spatial and spatiotemporal data. Spatial dependence in the volatility may arise due to spatial spillovers among locations; that is, in the case of positive spatial dependence, if two locations are in close proximity, they can exhibit similar volatilities. In this paper, we aim to provide a comprehensive review of the recent literature on spatial and spatiotemporal volatility models. We first briefly review time series volatility models and their multivariate extensions to motivate their spatial and spatiotemporal counterparts. We then review various spatial and spatiotemporal volatility specifications proposed in the literature along with their underlying motivations and estimation strategies. Through this analysis, we effectively compare all models and provide practical recommendations for their appropriate usage. We highlight possible extensions and conclude by outlining directions for future research.