Structural Volatility Impulse Response Analysis

Matthias Fengler and Jeannine Polivka

No 24-63, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: We make three contributions to the volatility impulse response function (VIRF) developed by Hafner and Herwartz (2006). First, we derive its law for multivariate GARCH models of the BEKK type. Second, we present a structural embedding of the VIRF, leveraging recent advancements in the identification of MGARCH models. Third, we show how to endow the VIRF with a causal interpretation. We illustrate the merits of a structural VIRF analysis by investigating the impacts of historical and out-of-sample shock scenarios on the U.S. equity, government bond, and foreign exchange markets.

Keywords: causality in volatility; multivariate GARCH models; proxy identification; structural identification; volatility impulse response functions (search for similar items in EconPapers)
JEL-codes: C32 C58 G17 (search for similar items in EconPapers)
Pages: 47 pages
Date: 2024-11
References: Add references at CitEc
Citations:

Downloads: (external link)
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5014458 (application/pdf)

Related works:
Working Paper: Structural Volatility Impulse Response Analysis (2022)
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:chf:rpseri:rp2463

Access Statistics for this paper

More papers in Swiss Finance Institute Research Paper Series from Swiss Finance Institute Contact information at EDIRC.
Bibliographic data for series maintained by Ridima Mittal ().