Asymmetric volatility impulse response functions

Hafner, Christian;Herwartz, Helmut
(2023) Economics Letters — Vol. 222, p. 110968 (2023)

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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.
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Hafner, C., & Herwartz, H. (2023). Asymmetric volatility impulse response functions. Economics Letters, 222, 110968. https://doi.org/10.1016/j.econlet.2022.110968 (Original work published 2023)