## time varying volatility

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### Re: time varying volatility

Hi! Sorry to repost it a little late.
I found irfs with respect to level shocks are around ten times larger than to volatility shocks in the form of percent deviation from s.s. in my model.
Also, the magnitudes of irfs and moments of variables under volatility shocks are easily affected. The moments are enlarged. How does it happen? I wonder if I have calculated irfs in the wrong way, or else. I am using Dynare and set the variance to 1 now. A few days ago, with the help of Prof. Pfeifer, I tried to set the size of shock, or the variance, to 0.01. But how to compute moments or IRFs in percent deviations from s.s. in this case? Sorry, I am still confused. Please give me a hand!
Thanks for any help!
zhanghuifd

Posts: 36
Joined: Tue Mar 21, 2017 8:14 am

### Re: time varying volatility

Please be more systematic. Which specification of the shock process and the shocks-block are you using and what are the problems you are experiencing. And which options do you use (order, pruning, type of IRFs)
------------
Johannes Pfeifer
University of Cologne
jpfeifer

Posts: 6940
Joined: Sun Feb 21, 2010 4:02 pm
Location: Cologne, Germany

### Re: time varying volatility and IRF

I'm still confused that the magnitudes of irfs and moments of variables under volatility shocks are easily affected. The moments are enlarged, but respones are still small. How does it happen? So, if I want to set the shock-block like this with anything else unchanged,
shocks;
var ezt = 0.01;
var evolz = 0.01;
end;
Moments are smaller than the former. But, it is reasonable this time after multiplying it by 10. How to compute its irfs and moments correspondingly in this case?

Just now, I happened to find out a weird result about irf attached below.
I just use simple option to do 3rd approximation. Simulated irfs change once I set
Code: Select all
`irf = 20`
rather than
Code: Select all
`irf = 16`
. Thanks for any help!
Attachments
IRF_SSS&simulated.pdf
SSS_GIRF