liury95/tvp-var-sv

I revised the TVP-VAR-SV model developed by Nakajima(2011), which adapted with Matlab R2022a now.

TVP-VAR-SV (README)

0x00 Introduction

I revised the TVP-VAR-SV model developed by Nakajima(2011), which adapted with Matlab R2022a now.

Two obvious example were built by Nakajima, where you can learn how to use this TVP-VAR-SV packages from.

Via testing, this package may not suitable for Matlab version less than R2020a (Maybe 2018a or less).

0x01 Something u should know:

• 'tvpvar_ex.xlsx' is the dataset used in two examples.
• 'tvpvar_ex1.m' and 'tvpvar_ex2.m' are two obvious example with a lot of exegesis (NOT hard to understand).
• 'tvpvar_m.pdf' is the handbook of this packages (Strongly recommended Users to read it before programing).
• 'TVPVAR-Package.m' is another instruction of this Package.
• Other scripts are not important if you just want to use this package.
• GOOD LUCK TO U!

0x02 Reference

[1]. Nakajima, J. (2011). Time-varying parameter VAR model with stochastic volatility: An overview of methodology and empirical applications. Monetary and Economic Studies 29, 107–142.

[2]. https://sites.google.com/site/jnakajimaweb.

时变参数-向量自回归-随机波动率 模型 (读我)

0x00 介绍

我修订了Nakajima(2011)介绍的TVP-VAR-SV模型，Matlab R2022a可无痛适用。

原作者给了两个简单的例子，如果不想深究细节，直接对照着例子去改就好了。

0x01 注意事项

懒得写了，看我上面写的塑料英文吧。

0x02 参考文献

[1]. Nakajima, J. (2011). Time-varying parameter VAR model with stochastic volatility: An overview of methodology and empirical applications. Monetary and Economic Studies 29, 107–142.

[2]. https://sites.google.com/site/jnakajimaweb.