accounts for time variation in macroeconomic volatility, known as the great moderation. In particular, we consider an … volatility processes and mixture distributions for the irregular components and the common cycle disturbances enable us to … that time-varying volatility is only present in the a selection of idiosyncratic components while the coefficients driving …

volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are …