[Gretl-users] Re: Diebold-Yilmaz
Am 05.02.2024 um 13:37 schrieb Theodoros Panagiotidis:
Dear All,
I was wondering whether someone has worked on the implementation of
the Diebold and Yilmaz (2009) in gretl (script or addin). EViews has
an add-in called dyindex:
https://forums.eviews.com/viewtopic.php?t=19121
Diebold, F. X., & Yilmaz, K. (2009). Measuring financial asset return
and volatility spillovers, with application to global equity markets.
The Economic Journal, 119(534), 158-171.
Hi, that's an interesting suggestion. I'm not aware of any existing
gretl implementations (but haven't checked thoroughly, either).
In any case, from what I read in the first couple of pages of the NBER
WP version of the paper above, all you seem to need is the forecast
error variance decomposition (FEVD) of a Choleski-identified VAR.
(Please correct me if I overlooked something there.)
So in principle you just would have to estimate the VAR (gretl's 'var'
command), and then you can retrieve the FEVD values in the accessor
'$fevd' (after setting the calculated forecast horizon; 'set horizon
<whatever>'). With the FEVD values, you then have to do some summing and
normalizing, AFAICS. The $fevd matrix apparently already contains the
respective contributions as fractions (as per the help text, which you
should read in any case), but if you sum over several horizons, I guess
you still have to do that part of the normalization step.
All in all, I guess it's a very doable exercise in VAR-oriented hansl
scripting, because the difficult parts are already taken care of natively.
cheers
sven