VARGARCHSIMULATE—Simulation of a VAR with GARCH errors
Posted: Mon Dec 30, 2024 9:34 am
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
Detailed Description