Structural vector autoregressions with heteroskedasticity : a comparison of different volatility models

Helmut Lütkepohl; Aleksei Netšunajev

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 drawbacks. It thereby enables researchers wishing to use identi cation of structural VAR models via heteroskedasticity to make a more informed choice of a suitable model for a speci c empirical analysis. An application investigating the interaction between U.S. monetary policy and the stock market is used to illustrate the related issues.

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Year of publication:	2015
Authors:	Lütkepohl, Helmut ; Netšunajev, Aleksei
Publisher:	Berlin : SFB 649, Economic Risk
Subject:	Structural vector autoregression \| identification via heteroskedasticity \| conditional heteroskedasticity \| smooth transition \| Markov switching \| GARCH \| VAR-Modell \| VAR model \| Volatilität \| Volatility \| ARCH-Modell \| ARCH model \| Heteroskedastizität \| Heteroscedasticity \| Schätzung \| Estimation \| Markov-Kette \| Markov chain \| Zeitreihenanalyse \| Time series analysis \| Schätztheorie \| Estimation theory