An impulse-response function for a VAR with multivariate GARCH-in-Mean that incorporates direct and indirect transmission of shocks

Chew Lian Chua, Sandy Suardi, Sarantis Tsiaplias

Research output: Journal PublicationArticlepeer-review

3 Citations (Scopus)

Abstract

We generalise the impulse response function of Elder (2003) by considering indirect volatility spillovers for a VAR model with multivariate GARCH-in-Mean. The extension is relevant for variables that exhibit direct and indirect volatility spillovers (Tsiaplias and Chua, inpress).

Original languageEnglish
Pages (from-to)452-454
Number of pages3
JournalEconomics Letters
Volume117
Issue number2
DOIs
Publication statusPublished - Nov 2012
Externally publishedYes

Keywords

  • Impulse response
  • Latent factors
  • Multivariate GARCH
  • Spillovers

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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