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 mean equation for GARCH model and then to obtain the volatilities, however, is there any way to run VAR model that the residuals have been already specified as heteroskedastic?
I would appreciate any help
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