Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015
response functions (VIRF) provide information about the impact of independent shocks on volatility. HH's VIRF extends a …-Gaussian errors. They use this particular structure to calculate conditional expectations of volatility analytically in their VIRF … in the approach is the choice of baseline volatilities. VIRF is defined as the expectation of volatility conditional on …