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- Tue Jan 09, 2018 3:14 pm
- Forum: Econometric Discussions
- Topic: VOLATILITY VAR
- Replies: 0
- Views: 1941
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 ...