Asymmetric volatility impulse response functions

Christian M. Hafner and Helmut Herwartz

Economics Letters, 2023, vol. 222, issue C

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)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:222:y:2023:i:c:s0165176522004426

DOI: 10.1016/j.econlet.2022.110968

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