Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets … of data, daily realized volatility estimates taken from the Oxford Man RV library, running from the beginning of 2000 to …) and the subsequent European Sovereign Debt Crisis (ESDC). The spillover index captures the transmission of volatility to …

This paper applies the Hafner and Herwartz (2006) (hereafter HH) approach to the analysis of multivariate GARCH models … using volatility impulse response analysis. The data set features ten years of daily returns series for the New York Stock … independent shocks on volatility through time, while avoiding typical orthogonalization and ordering problems. Volatility impulse …

memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model. We examine the …