Impulse responses in GARCH

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amnordstroem
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Joined: Thu Dec 21, 2017 6:20 am

Impulse responses in GARCH

Postby amnordstroem » Tue Apr 24, 2018 1:44 am

Hi,

Does anyone know if there is any way of obtaining/creating irf (impulse response functions) for GARCH models? Preferably both univariate and multivariate (I have a bi-variate unrestricted BEKK)?

Best,
Amanda

EViews Gareth
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Re: Impulse responses in GARCH

Postby EViews Gareth » Tue Apr 24, 2018 7:21 am

There is nothing built in to do it.
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amnordstroem
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Joined: Thu Dec 21, 2017 6:20 am

Re: Impulse responses in GARCH

Postby amnordstroem » Wed Apr 25, 2018 5:53 am

EViews Gareth wrote:There is nothing built in to do it.


Hi Gareth, thank you for your reply. Any suggestions on how to do it manually? Perhaps by using my series on estimated conditional variances as an explanatory variable on conditional covariance?

EViews Gareth
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Re: Impulse responses in GARCH

Postby EViews Gareth » Wed Apr 25, 2018 7:38 am

Unfortunately not.
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