Search found 1 match

by eviewser
Tue Jan 09, 2018 3:14 pm
Forum: Econometric Discussions
Topic: VOLATILITY VAR
Replies: 0
Views: 243

VOLATILITY VAR

Hello! I am trying to build a VAR model that accounts for variables' volatility. As such, I want to estimate a VAR with residuals following GARCH(1,1) specification. The variables in my model are basically macroeconomic, inflation, interest rates, output. I am familiar to use VAR specification as a ...

Go to advanced search