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Impulse Response Function for Conditional Volatility in GARCH Models

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  • Lin, Wen-Ling

Abstract

This paper defines and analyzes the impulse response function for conditional volatility in GARCH models. It first derives the function from a vector autoregressive and moving average representation of the GARCH models and obtains the corresponding standard errors from the first-order derivatives of the function and the covariance matrix of the estimated parameters. The paper then employs a Monte Carlo study to assess the finite sample properties of the standard errors and provides an empirical example of the dependence of exchange rate volatility to demonstrate its use in empirical applications.

Suggested Citation

  • Lin, Wen-Ling, 1997. "Impulse Response Function for Conditional Volatility in GARCH Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 15-25, January.
    • Handle: RePEc:bes:jnlbes:v:15:y:1997:i:1:p:15-25
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