Asymmetric volatility impulse response functions

Christian M. Hafner () and Helmut Herwartz ()
Additional contact information
Christian M. Hafner: Université catholique de Louvain, LIDAM/ISBA, Belgium
Helmut Herwartz: University of Gottingen

No 2023029, LIDAM Reprints 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: 17
Date: 2023-11-30
Note: In: Economics Letters, 2023, vol. 222, 110968
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aiz:louvar:2023029

DOI: 10.1016/j.econlet.2022.110968

Access Statistics for this paper

More papers in LIDAM Reprints ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) Voie du Roman Pays 20, 1348 Louvain-la-Neuve (Belgium). Contact information at EDIRC.
Bibliographic data for series maintained by Nadja Peiffer ().