VARGARCHSIMULATE—Simulation of a VAR with GARCH errors

Use this forum for posting example programs or short bits of sample code.
Post Reply
TomDoan
Posts: 7732
Joined: Wed Nov 01, 2006 4:36 pm

VARGARCHSIMULATE—Simulation of a VAR with GARCH errors

Unread post by TomDoan »

VARGARCHSIMULATE.RPF is an example of simulation of a VAR-GARCH process. This includes calculation of error statistics on forecasts of the mean (for illustration; it's not a good idea in the presence of GARCH errors).

Detailed Description


Last bumped by TomDoan on Mon Dec 30, 2024 9:34 am.
Top
Post Reply

Return to “Examples and Sample Code”