An impulse-response function for a vector autoregression with multivariate GARCH-in-mean

This paper derives an analytical expression for an impulse-response function for a vector autoregression with multivariate GARCH errors, where the vector of conditional means is a function of the conditional variances. We also provide the appropriate interpretation of an impulse-response function for such models and suggest interesting empirical issues that can be addressed within this framework. (C) 2002 Elsevier Science B.V. All rights reserved.