Abstract. In this paper, we studied the propagation of risks in European capital markets based on 17 European stock market indices using the methodology proposed by Chatziantoniou et. al. (2021) of a TVP – VAR model and an approach to the levels of connection of variables. The study covers the period November 2001 – February 2025 and focuses on the returns and volatilities of stock market indices. We use a high frequency band (to measure the short term) and a low frequency (for the long term) to measure the level of connection. We observe that the level of interconnection of capital markets is high over the entire analyzed period, and risks propagate from Western European capital markets to Eastern European capital markets, both in terms of returns and volatility. In our opinion, this analysis contributes to understanding the dynamics of European capital markets and improving investors' portfolios.

Keywords: Risk spillover, TVP-VAR, European capital markets, stock market indices, connectedness measures.