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I am trying to simulate VAR models with ARCH/GARCH errors, I am wondering the best way to do this?

Can I insert a covariance matrix that will lead to heteroskedasticity?

Any readings are suggestions on this would be much appreciated.

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    $\begingroup$ Cross-posted on stats.stackexchange.com/questions/383393 $\endgroup$ – LocalVolatility Feb 12 at 13:20
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    $\begingroup$ Please follow the rules. Refrain from rudeness and cross-posting. $\endgroup$ – Bob Jansen Feb 12 at 14:06
  • $\begingroup$ Is it breaking a rule by cross posting Bob? $\endgroup$ – Zarina Akhtar Feb 12 at 14:42
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    $\begingroup$ See meta.stackexchange.com/questions/64068. In this particular case, the question was on-topic for Stats SE, the moderator asked for clarification/explaining what you tried so far which you didn't provide but instead posted it again here. $\endgroup$ – LocalVolatility Feb 12 at 14:54
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    $\begingroup$ Please read the answer to the linked meta-post. But yes, in most cases I close a cross posted question here or make sure the question is flagged elsewhere. $\endgroup$ – Bob Jansen Feb 13 at 6:19

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