Regarding standard errors in GIRF for VAR-GARCH model

[Owen Wang]

Dear all,

I employed the multivariate VAR(1)-DCC-GARCH(1,1) model in empirical analysis. I wonder if the standard errors are avaialable in the GIRF
(Generalized Impulse Response Functions). If yes, could I have the code for version pro 8.1. If no, why? How about the variates of VAR-GARCH model,
are these specifications not available to get the standard errors?

Any reply will be appreciated.

Owen Wang

[TomDoan]

I'm not even sure what "GIRF" means in that context. If you are talking about responses to unit shocks (which you *can* compute), the standard errors for those are can be computed using Gibbs sampling on the GARCH model---it the model is fairly well estimated, that can be done by independence chain Metropolis.