This paper studies domestic volatility transmission in an emerging economy. Daily volatility spillover indices, relating to South African (SA) currencies, bonds and equities, are estimated using variance decompositions from a generalised vector autoregressive (GVAR) model (Pesaran and Shin 1998). The results suggest substantial time-variation in volatility linkages between October 1996 and June 2010. Typically, large increases in volatility spillovers coincide with domestic and foreign financial crises. Equities are the most important source of volatility spillovers to other asset classes. However, following the 2001 currency crisis, and up until mid-2006, currencies temporarily dominate volatility transmission. Bonds are a consistent net receiver of volatility spillovers. In comparison to similar research focussing on the United States (Diebold and Yilmaz 2010), volatility linkages between SA asset classes are relatively strong.
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