Volatility impulse responses for multivariate GARCH models : An exchange rate illustration

@inproceedings{HafnerVolatilityIR,
  title={Volatility impulse responses for multivariate GARCH models : An exchange rate illustration},
  author={Christian M. Hafner and Helmut Herwartz}
}
We introduce a new concept of impulse response functions tracing the effects of independent shocks on volatility through time while avoiding typical orthogonalization and ordering problems. In an empirical study of a bivariate foreign exchange (FX) rate series we use volatility impulse response functions to discuss the effects of central bank decisions such as direct interventions in the FX-market or open market activities on FX market volatility. Comparing our concept with conditional moment… CONTINUE READING

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