Impulse Response Function for Conditional Volatility in GARCH Models
GARCH 模型中条件波动率的脉冲响应函数
This paper defines and analyzes the impulse response function for conditional volatility in 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. The paper then employs a Monte Carlo study to assess the finite sample properties of the standard errors and…