ComputeBounds_IRFandGIRF: Compute the confidence bounds from the model's numerical...

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Compute the confidence bounds from the model's numerical outputs

Description

Compute the confidence bounds from the model's numerical outputs

Usage

ComputeBounds_IRFandGIRF(
  ModelBootstrap,
  quants,
  FacDim,
  YieDim,
  ModelType,
  Economies,
  ndraws,
  Horiz
)

Arguments

ModelBootstrap	numerical output set from the bootstrap analysis
quants	quantile of the confidence bounds
FacDim	dimension of the risk factor set
YieDim	dimension of the bond yield set
ModelType	Desired model type
Economies	Economies that are part of the economic system
ndraws	number of draws selected
Horiz	horizon of numerical outputs

MultiATSM documentation built on April 4, 2025, 1:40 a.m.