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Structural Vector Autoregressions with Heteroskedasticity: A Review of Different Volatility Models Helmut Lütkepohl, Aleksei Netsunajev In: Econometrics and Statistics 1 (2017), S. 2-18

Abstract:

Changes in residual volatility are often used for identifying structural shocks in vector autoregressive (VAR) analysis. A number of different models for heteroskedasticity or conditional heteroskedasticity are proposed and used in applications in this context. The different volatility models are reviewed and their advantages and drawbacks are indicated. An application investigating the interaction between U.S. monetary policy and the stock market illustrates the related issues.

Keywords:

Structural vector autoregression; Identification via heteroskedasticity; Conditional heteroskedasticity; Smooth transition; Markov switching; GARCH