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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

There is nothing built in to do it.

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?

Unfortunately not.