Domestic and foreign sources of volatility spillover to South African asset classes

► The paper develops a small-open-economy volatility spillover model. ► The model is used to measure domestic and foreign spillovers in South Africa (SA). ► Domestic spillovers are large relative to foreign spillovers in SA. ► Equity and commodity shocks are the dominant sources of domestic spillovers in SA. ► Peaks in spillover magnitudes coincide with domestic and foreign financial crises.