BVARSVResult.volatility_path

BVARSVResult.volatility_path(name)

One equation’s posterior innovation standard deviation path.

The standard deviation of the orthogonalized innovation exp(h_t / 2) – the object the model actually drifts; the reduced-form variances mix these through A^{-1}.

Parameters:

name (str) – An endogenous variable.

Return type:

NDArray[double]

Returns:

An (nobs, 3) array with columns (low, mean, high).

Raises:

SpecificationError – If the variable is unknown.