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).
- '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!
[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.
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。
懒得写了，看我上面写的塑料英文吧。
[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.