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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 Document de travail (Working Paper)
Access type Accès libre
Publication date 2022
Language Anglais
Number of pages 16 pages
Collection LIDAM Discussion Paper ISBA - 2022/37
Affiliation UCL - SSH/LIDAM/ISBA - Institut de Statistique, Biostatistique et Sciences Actuarielles
Keywords Multivariate GARCH ; leverage effect ; volatility impulse response analysis ; safe haven
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Bibliographic reference Hafner, Christian ; Herwartz, Helmut. Asymmetric volatility impulse response functions. LIDAM Discussion Paper ISBA ; 2022/37 (2022) 16 pages
Permanent URL http://hdl.handle.net/2078.1/267259