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Asymmetric volatility impulse response functions

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Hafner, Christian [UCL] Herwartz, Helmut

Volatility impulse response functions (VIRFs) have been introduced to unravel the effects of shocks on (co-)variances for the case of classical multivariate GARCH specifications. This paper proposes generalized VIRFs for the case of asymmetric specifications which capture stylized features such as the leverage effect. In a bivariate application comprising a global equity index and gold prices, we show that generalized VIRFs can be used to reassess the role of gold as a safe-haven asset.

Document type Article de périodique (Journal article) – Article de recherche
Access type Accès libre
Publication date 2023
Language Anglais
Journal information "Economics Letters" - Vol. 222, p. 110968 (2023)
Peer reviewed yes
Publisher Elsevier
issn 0165-1765
e-issn 1873-7374
Publication status Publié
Affiliation UCL - SSH/LIDAM/ISBA - Institut de Statistique, Biostatistique et Sciences Actuarielles
Keywords Multivariate GARCH ; volatility impulse response analysis ; leverage effect ; safe-haven
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Bibliographic reference Hafner, Christian ; Herwartz, Helmut. Asymmetric volatility impulse response functions. In: Economics Letters, Vol. 222, p. 110968 (2023)
Permanent URL http://hdl.handle.net/2078.1/281207