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- W1990303559 abstract "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." @default.
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- W1990303559 date "1997-01-01" @default.
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- W1990303559 title "Impulse Response Function for Conditional Volatility in GARCH Models" @default.
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- W1990303559 doi "https://doi.org/10.1080/07350015.1997.10524682" @default.
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