GARCHVIRFDIAG: RATS program to demonstrate calculation of Variance IRF for certain multivariate GARCH models

Tom Doan ()
Additional contact information
Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: Example of computing the Volatility Impulse Response (VIRF) for a GARCH model which doesn't have a "VECH" form, but only models the variances.

Language: RATS
Requires: RATS 11.00
Keywords: ARCH-GARCH; Variance Impulse Response Function (search for similar items in EconPapers)
Date: 2026-01-02
Note: An RPRJ is a specialized zip file including one or more program files and data files. See https://estima.com/ratsfiletypes.shtml
References: Add references at CitEc
Citations:

Downloads: (external link)
https://estima.com/procedures/garchvirfdiag.rprj (application/zip)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rtj00031

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().