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
Link to this page:
Please notify us if you found a problem with this document: