Impulse Response Function for Conditional Volatility in GARCH Models
Bibliographic Data
| ID | 19419741 |
|---|---|
| Authors | Wen-Ling Lin (0000-0001-6524-9171, corresponding author) |
| Year | 1997 |
| Volume | 15 |
| Issue | 1 |
| Pages | 15-25 |
| Publication date | 1997-01-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.1997.10524682 |
| OpenAlex | W1990303559 |
| Language | EN |
| Citations received | 3 |
| References cited | 25 |
This article defines and analyzes the impulse response function for conditional volatility in generalized autoregressive conditional heteroscedasticity (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. Then this article 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
Autoregressive conditional heteroskedasticity · Autoregressive model · Conditional variance · Econometrics · Financial models with long-tailed distributions and volatility clustering · Forward volatility · Heteroscedasticity · Impulse response · Stochastic volatility · Financial Risk and Volatility Modeling · Market Dynamics and Volatility · Mathematics · Monetary Policy and Economic Impact · Applied Mathematics
ARCH modeling in finance
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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
Generalized autoregressive conditional heteroskedasticity
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
Macroeconomics and Reality
Finite-Sample Properties of the Maximum Likelihood Estimator in GARCH(1,1) and IGARCH(1,1) Models
Modelling the Coherence in Short-Run Nominal Exchange Rates
Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models
A Capital Asset Pricing Model with Time-Varying Covariances
| Unique citing works | 3 |
|---|---|
| Citations per year | 0.19 |
| Citation span | 2010 - 2023 (14) |
| Citation velocity | historical |
| Highly cited | No |
| Citation types | Neutral: 3 |