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

Author

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  • Chua, Chew Lian
  • Suardi, Sandy
  • Tsiaplias, Sarantis

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, in press).

Suggested Citation

  • Chua, Chew Lian & Suardi, Sandy & Tsiaplias, Sarantis, 2012. "An impulse-response function for a VAR with multivariate GARCH-in-Mean that incorporates direct and indirect transmission of shocks," Economics Letters, Elsevier, vol. 117(2), pages 452-454.
    • Handle: RePEc:eee:ecolet:v:117:y:2012:i:2:p:452-454
    DOI: 10.1016/j.econlet.2012.06.031
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    References listed on IDEAS

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    Cited by:

    1. Amélie Charles & Chew Lian Chua & Olivier Darné & Sandy Suardi, 2021. "Oil price shocks, real economic activity and uncertainty," Bulletin of Economic Research, Wiley Blackwell, vol. 73(3), pages 364-392, July.
    2. Cherry Muijsson, 2014. "Assessing Interbank Connectedness Using Transmission Decomposition Techniques: an Application to Eurozone SIFIs," Cambridge Working Papers in Economics 1438, Faculty of Economics, University of Cambridge.
    3. Mobeen Ur Rehman, 2016. "Financial Contagion in EFA Markets in Crisis Periods: A Multivariate GARCH Dynamic Conditional Correlation Framework," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 21(2), pages 121-151, July-Dec.
    4. Zhao, Yihang & Zhou, Zhenxi & Zhang, Kaiwen & Huo, Yaotong & Sun, Dong & Zhao, Huiru & Sun, Jingqi & Guo, Sen, 2023. "Research on spillover effect between carbon market and electricity market: Evidence from Northern Europe," Energy, Elsevier, vol. 263(PF).

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    More about this item

    Keywords

    Multivariate GARCH; Spillovers; Latent factors; Impulse response;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General

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