Example: stock market

# Time-Varying Parameter VAR Model with Stochastic ...

the **random** walk process. The estimation algorithm for the **random**-walk case requires . In the case of , the log-volatility follows only a slight modiﬁcation for the algorithm developed below.2 We can consider reduced models in the class of the TVP regression model. If the regression has only constant coefﬁcients (i.e., z

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