StochasticVolatilitySVARResult.volatility_path#

StochasticVolatilitySVARResult.volatility_path(shock, *, quantiles=(0.16, 0.5, 0.84))[source]#

Posterior quantiles of one shock’s standard deviation over the sample.

The path is exp(h_t / 2) scaled by the shock’s impact column norm, so it reads in the units of the reduced-form innovations rather than as a normalized ratio.

Parameters:

  • shock (str | int) – A shock label or column index.

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

Return type:

NDArray[double]

Returns:

An array of shape (len(quantiles), T).

Raises:

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