volatility impulse response functions

Questions and discussions on Vector Autoregressions

volatility impulse response functions

Postby chiade » Mon Apr 23, 2012 9:16 am

Hi Sir,

I had managed to set up the impulse response functions for my TVP-VAR models. I would like to set up the volatility impulse response functions by Panopoulou & Pantelidis (2005) and Hafner & Herwartz (2006) but can't find these commands in the user's guide. There had been a number of papers using such virfs, and many of the users in this forum had asked about these. However, there were no answers from anyone. I wonder whether you would be able to provide guidance on this? Many thanks once again for your kind replies.

http://www.unipi.gr/faculty/apano/spillover.pdf

http://ead.univ-angers.fr/~granem08/IMG ... EM_002.pdf

http://economics.ca/2008/papers/0315.pdf
chiade
 
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Re: volatility impulse response functions

Postby TomDoan » Fri Jun 01, 2012 12:36 pm

Volatility IRF's are really a "GARCH" rather than a VAR topic. See http://www.estima.com/forum/viewtopic.php?f=8&t=1466 for Hafner and Herwartz.
TomDoan
 
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