may you code the impulse-response function for a vector autoregression with multivariate GARCH-in-mean (John Elder 1995)?
Thank you
irf for var with mgarch in mean
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irf for var with mgarch in mean
by luxu1983 » Fri Mar 12, 2010 9:27 am
dear all
may you code the impulse-response function for a vector autoregression with multivariate GARCH-in-mean (John Elder 1995)?
Thank you
may you code the impulse-response function for a vector autoregression with multivariate GARCH-in-mean (John Elder 1995)?
Thank you
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Re: irf for var with mgarch in mean
by TomDoan » Fri Mar 12, 2010 10:56 am
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.
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