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

Authors

Chew Lian Chua, University of Melbourne
Sandy Suardi, University of WollongongFollow
Sarantis Tsiaplias, Predictive Analytics Group

RIS ID

97744

Publication Details

Chua, C., Suardi, S. & Tsiaplias, S. (2012). An impulse-response function for a VAR with multivariate GARCH-in-Mean that incorporates direct and indirect transmission of shocks. Economics Letters, 117 (2), 452-454.

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).