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irf for var with mgarch in mean
Posted: Fri Mar 12, 2010 8:27 am
by luxu1983
dear all
may you code the impulse-response function for a vector autoregression with multivariate GARCH-in-mean (John Elder 1995)?
Thank you
Re: irf for var with mgarch in mean
Posted: Fri Mar 12, 2010 9:56 am
by TomDoan
Again, that is not a well-defined "function". The effect of a time t shock depends upon the GARCH covariance matrix at t, producing a different "M" term for each subsequent entry.
Re: irf for var with mgarch in mean
Posted: Mon Feb 09, 2015 12:37 pm
by kayak
Elder uses the unconditional variance for the size of the shock. There for the IRF as he defines should not be dependent on the point in time. The simulation then depends only the coefficient estimates.
Re: irf for var with mgarch in mean
Posted: Mon Feb 09, 2015 1:23 pm
by TomDoan
The calculation of IRF's for a VAR-GARCH-M are covered in
Elder-Serletis(2010).