[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.