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Structural Volatility Impulse Response Analysis

Matthias R. Fengler & Jeannine Polivka

Journal of Financial Econometrics2025https://doi.org/10.1093/jjfinec/nbae036article
AJG 3ABDC A*
Weight
0.41

Abstract

We make three contributions to the volatility impulse response function (VIRF) developed by Hafner and Herwartz (2006). First, we derive its law for multivariate GARCH models of the BEKK type. Second, we present a structural embedding of the VIRF, leveraging recent advancements in the identification of multivariate generalized autoregressive conditional heteroskedasticity models. Third, we show how to endow the VIRF with a causal interpretation. We illustrate the merits of a structural VIRF analysis by investigating the impacts of historical and out-of-sample shock scenarios on the U.S. equity, government bond, and foreign exchange markets.

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https://doi.org/https://doi.org/10.1093/jjfinec/nbae036

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@article{matthias2025,
  title        = {{Structural Volatility Impulse Response Analysis}},
  author       = {Matthias R. Fengler & Jeannine Polivka},
  journal      = {Journal of Financial Econometrics},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1093/jjfinec/nbae036},
}

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Evidence weight

0.41

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.25 × 0.4 = 0.10
M · momentum0.55 × 0.15 = 0.08
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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