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
For econometric discussions not necessarily related to EViews.
1 post • Page 1 of 1
Who is online
Users browsing this forum: No registered users and 7 guests