time varying volatility

[zhanghuifd]

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!

[jpfeifer]

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)

[zhanghuifd]

Hi! Sorry! Thanks for your reply!
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!