StochasticVolatilitySVARResult.fevd#

StochasticVolatilitySVARResult.fevd(horizon=20, *, quantiles=(0.16, 0.5, 0.84))[source]#

Pointwise posterior quantiles of the variance decomposition.

Computed at each shock’s in-sample average variance, the scale the impact columns carry; under stochastic volatility the true decomposition is time-varying, and this is its average-variance reading.

Parameters:

  • horizon (int) – Largest lead to return.

  • quantiles (Sequence[float]) – Probability levels, each in (0, 1).

Return type:

NDArray[double]

Returns:

An array of shape (len(quantiles), horizon + 1, k, k).

Raises:

SpecificationError – If a quantile is outside the open unit interval.