GARCHVIRFDiag—VIRF's for GARCH with CC/DCC

[TomDoan]

GARCHVIRFDIAG.RPF shows how to compute VIRF's as defined in Hafner and Herwartz(2006) for models that use CC or DCC. The VIRF's as defined in HH require a GARCH model which can be put in "VECH" form (such as BEKK). However, you can extrapolate the variances alone (not the covariances) using the same theory if the variances admit a recursion involving only lagged variances and lagged squared residuals (own and possibly cross terms). This requires use of the @MVGARCHVarMats procedure to pull the recursion matrices out of the GARCH output.

mvgarchvarmats.src

The data set is one used in GARCHMV.RPF and other examples.

Detailed Description