1. A volatility impulse response analysis applying multivariate GARCH models and news events around the GFC
- Author
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Allen, David, McAleer, MJ, Powell, RJ, Singh, AK, and MODSIM 2015, 21st International Congress on Modelling and Simulation Gold Coast, Australia 29 November - 04 December 2015
- Subjects
volatility impulse response functions ,ESDC ,BEKK ,asymmetry ,GFC - Abstract
This paper features an application of the Hafner and Herwartz (2006) approach to the analysisof multivariate GARCH models using volatility impulse response analysis. The data set used features tenyears of daily return series for the New York Stock Exchange Index and the FTSE 100 index from theLondon stock Exchange, taken from 3rd January 2005 to January 31st 2015. This period captures both theGlobal Financial Crisis (GFC) and the subsequent European Sovereign Debt Crisis (ESDC). The attraction ofthe Hafner and Kerwartz (2006) approach is that it involves a novel application of the concept of impulseresponse functions, tracing the effects of independent shocks on volatility through time, whilst avoidingtypical orthogonalization and ordering problems. Volatility impulse response functions (VIRF) provideinformation about the impact of independent shocks on volatility Refereed/Peer-reviewed
- Published
- 2015