Guidolin, Massimo (contributor); Ono, Sadayuki (contributor) - 2005
(MS)
VAR(p) process with heteroskedastic component, compactly MSIAH(k,p) (see Krolzig (1997)):
y
t
= µ
S
t
+
p
X
j=1
A
j … =0,MSIA(k,p) homoskedastic models,
y
t
= µ
S
t
+
p
X
j=1
A
j,S
t
y
t−j
+Σ²
t
,
in which the covariance matrix is constant … over time, and MSIH(k,0)−VAR(p)models,
y
t
= µ
S
t
+
p
X
j=1
A
j
y
t−j
+Σ
S
t
²
t
, (3)
6
Assume the absence of roots …