Estimate VAR model using GARCH

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AfonsoRod
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Joined: Wed May 31, 2017 7:37 am

Estimate VAR model using GARCH

Postby AfonsoRod » Tue Jun 11, 2019 9:51 am

Dear all,

I have run into some articles that perform a VAR model after performing a GARCH(1,1) model. However, they do not explain how they use the output of the GARCH model to estimate the VAR. In fact, they only say that,

"in order to estimate the VAR model, we have transformed the results obtained form the GARCH(1,1), creating a variance equation for each GARCH(1,1) model with the objective of obtaining the standard deviation of each series, thus allowing the creation of the VAR models"


Does anyone knows how to do this with a better explanation?

I appreciate all the help in advance.

Yours sincerely,
Afonso Rodrigues

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