Variance (non) causality in multivariate GARCH

This paber extends the current literature on the variance-causality topic providing the coefficient restrictions ensuring variance noncausality within multivariate GARCH models with in-mean effects. Futhermore, this paper presents a new multivariate model, the exponential causality GARCH. By the introduction of a multiplicative causality impact function, the variance causality, effects becomes directly interpretable and can therefore be used to detect both the existence of causality and its direction; notably, the proposed model allows for increasing and decreasing variance effects. An empirical application evidences negative causality effects between returns and volume of an Italian stock market index future contract.