In this blog, we will look more closely at:
- Conditional heteroscedasticity.
- The impacts of conditional heteroscedasticity on SVAR models.
- Estimating structural impulse response functions (SIRF) in the presence of conditional heteroscedasticity.
- An application to the global oil market based on this publication: https://www.jamelsaadaoui.com/how-political-tensions-influence-the-oil-market/.
Read the rest of the blog here: https://www.aptech.com/blog/addressing-conditional-heteroscedasticity-in-svar-models/.