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Asymmetric volatility impulse response functions

Author

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  • Hafner, Christian

    (Université catholique de Louvain, LIDAM/ISBA, Belgium)

  • Herwartz, Helmut

    (University of Göttingen)

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.

Suggested Citation

  • Hafner, Christian & Herwartz, Helmut, 2022. "Asymmetric volatility impulse response functions," LIDAM Discussion Papers ISBA 2022037, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvad:2022037
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    References listed on IDEAS

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    More about this item

    Keywords

    Multivariate GARCH ; leverage effect ; volatility impulse response analysis ; safe haven;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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