Asymmetries, causality and correlation between FTSE100 spot and futures: A DCC-TGARCH-M analysis

► We study the conditional variance and correlation of FTSE spot and futures prices. ► Negative shocks have a larger impact on the variance than positive shocks. ► Risk premium and momentum effects are both evident. ► The conditional correlations increase over time and then level off. ► The conditional correlations decline temporarily following contract expiration.