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- Mon Feb 09, 2015 12:37 pm
- Forum: ARCH and GARCH Models
- Topic: irf for var with mgarch in mean
- Replies: 3
- Views: 6393
Re: irf for var with mgarch in mean
Elder uses the unconditional variance for the size of the shock. There for the IRF as he defines should not be dependent on the point in time. The simulation then depends only the coefficient estimates.