Data for: 3289858

Published: 24 November 2018| Version 1 | DOI: 10.17632/wvj2nthxv2.1
Contributor:
David Gabauer

Description

This study introduces volatility impulse response functions (VIRF) for DCC-GARCH models. In addition, the implications with respect to network analysis is illustrated by using the connectedness approach of Diebold and Yılmaz (2014) which rests on the VIRF to estimate the volatility transmission mechanism. An empirical analysis on the volatility transmission mechanism across foreign exchange rate returns is conducted. Besides the fact that VIRF are highly persistent, the findings indicate that the CHF is the main net volatility transmitter of shocks followed by the EUR, whereas the main net volatility receivers are the GBP followed by the JPY.

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