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st: Volatility IRF
From
"Michael Ralph M. Abrigo" <[email protected]>
To
[email protected]
Subject
st: Volatility IRF
Date
Thu, 27 Dec 2012 23:14:55 -1000
Happy holidays, listers!
Has anyone estimated volatility IRFs (Hafner, C.M. and H. Herwatz
(2006). Volatility impulse responses for multivariate GARCH models: An
exchange rate illustration. Journal of International Money and
Finance, 25) before? I am trying to replicate the one that Hafner and
Herwatz have in the paper using GARCH(1,1)-BEKK, and I can't get the
numbers/routine right. Any help would be much appreciated. Below is
what I have done (and failed) so far:
* start ---------------------------------------------------------------
// Input data matrices from Hafner and Herwatz (2006), p. 732
* A1 matrix
mat A = 0.271, -0.055 \ -0.047, 0.290
* B1 matrix
mat B = 0.954, 0.016 \ 0.012, 0.950
* Residual
mat e0 = 0.0221, 0.0321
* Conditional variance
mat s0 = 0.000011960, 0.000009620 \ 0.000009620, 0.000009940
* Compute IRF for t=1
matrix symei V D = s0
mat s0_ = V*cholesky(diag(D))*V' // conditional variance square root
mat e0std = s0_*inv(s0)*e0' // standardized residual
mat v1 = A*(s0_*e0std*e0std'*s0_-s0)
* end ------------------------------------------------------------------
Many thanks. And happy holidays.
Sincerely,
Michael
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