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FK83 / bvarsv

Analysis of the Primiceri (REStud, 2005) model
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How to estimate stochastic volatility from TVP-VAR model? #11

Closed dbcwicaksono closed 2 years ago

dbcwicaksono commented 2 years ago

Thanks for your contribution. How to estimate stochastic volatility from TVP-VAR model? I want to make graphs like this one: https://www.researchgate.net/figure/Estimated-stochastic-volatility-from-the-TVP-VAR-Model-a-Variance-of-errors-in-interest_fig2_308036119.

Thank you.

FK83 commented 2 years ago

Hi,

this document shows some example time series plots of time-varying volatility: https://github.com/FK83/bvarsv/blob/master/bvarsv_replication.pdf

Best regards, Fabian