Dear All,
We are planning to improve our VAR / VAR-ECM forecasting models that can augment the GARCH/ARCH effects. We have not so far encountered such a tool box of any software. We would appreciate it if any colleague give some clues or any method how to include such conditional variance variables in VAR type models. Thx in advace.
Zafer A. YAVAN
Director Of Economic Modelling
The State Planning Organization
Turkey
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