Hafner Herwartz 2006

[TomDoan]

The following is a replication file for the analysis in Hafner and Herwartz(2006), "Volatility impulse responses for multivariate GARCH models: An exchange rate illustration", Journal of International Money and Finance, vol 25, no 5, 719-740. The data set is a reproduction, so the results are similar but don't quite match.

This requires the MVGARCHtoVECH procedure (http://www.estima.com/forum/viewtopic.php?f=7&t=1433). The same relatively simple VIRF calculation can be applied to MV-GARCH models estimated with STANDARD (or DVECH) which is the default for GARCH, BEKK, VECH or DIAGONAL. It does not work for other types of MV-GARCH models, or models with asymmetry.

garchmodels.rpf

Program file

(4.99 KiB) Downloaded 268 times

xrates.xls

Data file (reproduction)

(719.83 KiB) Downloaded 265 times

[Bella]

Dear Tom,
Hello
I would like to know whether the generalized Impulse Response and volatility Impulse Response in enclosed paper can be obtained using the method you have posted?
Taking the VARMA-GARCH-in-M-Asymmetric BEKK as a example, how can i make changes for the related code you have posted to estimate generalized Impulse Response and volatility Impulse Response in a VARMA-GARCH-in-M-Asymmetric BEKK model.

Thank you for your instructions.
Regards.
Bella.

[TomDoan]

See http://www.estima.com/forum/viewtopic.php?f=8&t=1189

[Bella]

Thanks Tom. Here i have another question that is how i define the shock in the " compute hvec=%%vech_a*shock" in the part of "Use the VECH representation to compute the VIRF to the original shock" if I'd like to make volatility impulse responses of oil price and GDP in a bivariate varma-garch-m-asymmetric Bekk mode.

It is like that in the following in the Replication file for Hafner and Herwartz(2006)
sstats(max) / %if(date==920916,t,0)>>xblackwed %if(date==930802,t,0)>>xecpolicy
compute blackwed=fix(xblackwed),ecpolicy=fix(xecpolicy)
compute eps0=rv(blackwed)
compute sigma0=hh(blackwed)
compute shock=1.e+4*%vec(%outerxx(eps0)-sigma0)

but how i define eps0=rv(),sigma0=hh(), shock=1.e+4*%vec(%outerxx(eps0)-sigma0)? to make a simple volatility impulse responses.