Impulse Response:Stochastic Volatility?
Posted: Tue Oct 12, 2010 12:55 pm
I am working on a VAR with stochastic volatility. From this model, I would like to do impulse responses at different dates using Cholesky decomposition. The way impulse responses is defined is:
At date t, pick the var-cov matrix at date t, do cholesky and trace out impulse responses n periods ahead k, fixing the var-cov matrix.
My question is whether this is the only way to define impulse response in a time varying VAR model?
At date t, pick the var-cov matrix at date t, do cholesky and trace out impulse responses n periods ahead k, fixing the var-cov matrix.
My question is whether this is the only way to define impulse response in a time varying VAR model?