volatility impulse response functions

[chiade]

Hi Sir,

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.

http://www.unipi.gr/faculty/apano/spillover.pdf

http://ead.univ-angers.fr/~granem08/IMG ... EM_002.pdf

http://economics.ca/2008/papers/0315.pdf

[TomDoan]

Volatility IRF's are really a "GARCH" rather than a VAR topic. See http://www.estima.com/forum/viewtopic.php?f=8&t=1466 for Hafner and Herwartz.