We statically and dynamically measure total and directional volatility connectedness in
global foreign exchange (forex) markets. We use the volatility spillover index and LASSO-
VAR approaches in the variance decomposition framework to construct high-dimensional
volatility connectedness network linking 65 major currencies. Empirical results indicate that
the US dollar (USD) and Euro are major volatility transmitters while other currencies
including Japanese yen and British pound are basically net volatility receivers. In volatility …