Impulse Response Function for Conditional Volatility in GARCH Models
定义了GARCH模型中条件波动率的脉冲响应函数，推导了标准误，并通过蒙特卡洛模拟和汇率波动实例展示了其应用。
This article defines and analyzes the impulse response function for conditional volatility in generalized autoregressive conditional heteroscedasticity (GARCH) models. It first derives the function from a vector autoregressive and moving average representation of the GARCH models and obtains the corresponding standard errors from the first-order derivatives of the function and the covariance matrix of the estimated parameters. Then this article employs a Monte Carlo study to assess the finite-sample properties of the standard errors and provides an empirical example of the dependence of exchange-rate volatility to demonstrate its use in empirical applications.