Measures of Dynamic Connectednesss Based on DCC-GARCH: The Role of Volatility Transmission Mechanisms

David Gabauer
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Abstract

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 VIRFs. The advantage of this framework is that it does not underlie a rolling-window approach. An empirical analysis on the volatility trans- mission mechanism across foreign exchange rate returns is discussed. The findings point out that the CHF and the EUR are net volatility transmitters of shocks whereas the GBP and JPY are net volatility receivers of shocks.
基于DCC-GARCH的动态连通性测度:波动传递机制的作用
本文引入了波动性脉冲响应函数(VIRF)用于DCC-GARCH模型。此外,通过使用Diebold和Yılmaz(2014)的连通性方法来说明网络分析的含义,该方法依赖于virf。这个框架的优点是它不是滚动窗口方法的基础。本文对外汇收益率波动率的传导机制进行了实证分析。研究结果指出,瑞士法郎和欧元是冲击的净波动发射器,而英镑和日元是冲击的净波动接收器。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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