A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive … (VAR) analysis. A number of di erent models for heteroskedasticity or conditional heteroskedasticity are proposed and used … in applications in this context. This study reviews the di erent volatility models and points out their advantages and …

A growing literature uses changes in residual volatility 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. This study reviews the different volatility models and points out their advantages and …