Some events impact volatilities of most assets, asset classes, sectors and countries, causing serious damage to investment portfolios. The magnitude of such shocks is defined as global COVOL which is an abbreviation for global common volatility, a broad measure of all types of global financial risk. This paper introduces a statistical formulation of such events as common volatility innovations in both a multivariate volatility and an asset pricing context. Simulations verify the statistical performance of a simple but novel estimator and of a test to detect global COVOL. Two empirical examples show the events that have had the biggest impact on financial markets. The results are useful for portfolio optimization and risk forecasting.

一些事件会影响大多数资产、资产类别、行业和国家的波动，对投资组合造成严重损害。此类冲击的幅度被定义为全球 COVOL，它是全球共同波动率的缩写，是对所有类型全球金融风险的广泛衡量。本文介绍了在多元波动率和资产定价背景下的常见波动率创新等事件的统计公式。模拟验证了一个简单但新颖的估计器和检测全局 COVOL 的测试的统计性能。两个实证例子显示了对金融市场影响最大的事件。结果对于投资组合优化和风险预测很有用。