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.