Asymmetric volatility impulse response functions

Christian Hafner () and Helmut Herwartz
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Christian Hafner: Université catholique de Louvain, LIDAM/ISBA, Belgium
Helmut Herwartz: University of Göttingen

No 2022037, LIDAM Discussion Papers ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

Abstract: 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.

Keywords: Multivariate GARCH; leverage effect; volatility impulse response analysis; safe haven (search for similar items in EconPapers)
JEL-codes: C32 G15 (search for similar items in EconPapers)
Pages: 16
Date: 2022-11-18
New Economics Papers: this item is included in nep-ecm and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:aiz:louvad:2022037

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