Discussions of ARCH, GARCH, and related models
may you code the impulse-response function for a vector autoregression with multivariate GARCH-in-mean (John Elder 1995)?
- Posts: 67
- Joined: Wed Aug 12, 2009 10:53 pm
Again, that is not a well-defined "function". The effect of a time t shock depends upon the GARCH covariance matrix at t, producing a different "M" term for each subsequent entry.
- Posts: 2725
- Joined: Wed Nov 01, 2006 5:36 pm
Return to ARCH and GARCH Models
Who is online
Users browsing this forum: No registered users and 1 guest