# Question on conditional variance series

**URL:** <https://forum.dynare.org/t/question-on-conditional-variance-series/3338>\
**Category:** Dynare help (legacy posts)\
**Created:** [15 August 2013 21:31 UTC](https://forum.dynare.org/t/question-on-conditional-variance-series/3338 "2013-08-15T21:31:48Z")\
**Posts on this page:** 8\
**Page:** 1

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**Author:** ![YiJohn](https://forum.dynare.org/letter_avatar_proxy/v4/letter/y/dc4da7/32.png) [@YiJohn](https://forum.dynare.org/u/YiJohn)\
**Post date:** [15 August 2013 21:31 UTC](https://forum.dynare.org/t/question-on-conditional-variance-series/3338/1 "2013-08-15T21:31:48Z")

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Hello everyone/Dr. jpfeifer,

I was solving a standard DSGE model, and I was looking for conditional variance of endogenous variables, like var(y\_{t+k}|t) with respect to different horizon k.

As Dr. jpfeifer suggested in [[Conditional variance](https://forum.dynare.org/t/conditional-variance/3297/1)), I changed conditional\_variance\_decomposition.m to get the conditional variance series.

```auto

```

My aim is comparative static analysis: the effect of different parameter values on conditional variance series.

My problem: no matter how I adjust the parameter values (including elasticity of substitution, and the exogenous variances), the conditional variance series never change, so I was wondering this variable “ConditionalVariance” in conditional\_variance\_decomposition.m, is it already treated/normalized by dynare?

Thanks for your help in advance!

Yi

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**Author:** ![jpfeifer](https://forum.dynare.org/user_avatar/forum.dynare.org/jpfeifer/32/5044_2.png) [@jpfeifer](https://forum.dynare.org/u/jpfeifer)\
**Post date:** [19 August 2013 08:42 UTC](https://forum.dynare.org/t/question-on-conditional-variance-series/3338/2 "2013-08-19T08:42:17Z")

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Could you please post the mod-file. I cannot replicate the described behavior.

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<div class="post-metadata">

**Author:** ![YiJohn](https://forum.dynare.org/letter_avatar_proxy/v4/letter/y/dc4da7/32.png) [@YiJohn](https://forum.dynare.org/u/YiJohn)\
**Post date:** [26 August 2013 06:39 UTC](https://forum.dynare.org/t/question-on-conditional-variance-series/3338/3 "2013-08-26T06:39:34Z")

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Hi Dr. jpfeifer,

Sorry for my belated reply.

Please see attached my mod-file and the modified matlab file. The problem is: No matter how I adjust the parameters “tau”(0\<tau\<1) or “phi”(0\<phi\<1), the conditional variance series stay the same.

I am aware that the ASYMPTOTIC variances should be independent of “tau” and “phi”, but I believe CONDITIONAL variance series should be sensitive to “tau” and “phi”.

Thank you very much for your help!

Best Regards,  
Yi  
[revision.mod](https://forum.dynare.org/uploads/default/original/2X/6/6714ee0ee1c5906ffbe9c5c5d885a8b8ff7fa7f6.mod) (1.71 KB)  
[conditional\_variance\_decomposition.m](https://forum.dynare.org/uploads/default/original/2X/b/b24285379e270515ec87858e0cdd9737b1725da6.m) (3.3 KB)

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**Author:** ![jpfeifer](https://forum.dynare.org/user_avatar/forum.dynare.org/jpfeifer/32/5044_2.png) [@jpfeifer](https://forum.dynare.org/u/jpfeifer)\
**Post date:** [26 August 2013 09:06 UTC](https://forum.dynare.org/t/question-on-conditional-variance-series/3338/4 "2013-08-26T09:06:34Z")

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Most other parameters change the conditional variance. Thus, it seems to be an economic feature of your model.

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<div class="post-metadata">

**Author:** ![YiJohn](https://forum.dynare.org/letter_avatar_proxy/v4/letter/y/dc4da7/32.png) [@YiJohn](https://forum.dynare.org/u/YiJohn)\
**Post date:** [27 August 2013 03:16 UTC](https://forum.dynare.org/t/question-on-conditional-variance-series/3338/5 "2013-08-27T03:16:40Z")

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Dr. jpfeifer,

Thanks a lot!

Regards, Yi

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<div class="post-metadata">

**Author:** ![YiJohn](https://forum.dynare.org/letter_avatar_proxy/v4/letter/y/dc4da7/32.png) [@YiJohn](https://forum.dynare.org/u/YiJohn)\
**Post date:** [27 August 2013 06:39 UTC](https://forum.dynare.org/t/question-on-conditional-variance-series/3338/6 "2013-08-27T06:39:31Z")

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Hello Dr. jpfeifer,

Could you please tell me which parameter values you tried? Thanks in advance. Because as I tried different parameter values, the conditional variance series do not change.

The following is how I calculate the AGGREGATE conditional variance series (AGGREGATE means subject to all the shocks). Please let me know if I made any mistakes. Thanks a lot.

Since I was trying to get the aggregate conditional variance series, after I run “dynare revision”, I use the following matlab code to get the aggregate conditional variance series:

`load conditionalvariance
A = sum(ConditionalVariance,3);
B = A';`

Then the rows of matrix B is for different periods, and the columns of matrix B is for different variables.

Thanks again for your kind help!

Regards,  
Yi

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<div class="post-metadata">

**Author:** ![jpfeifer](https://forum.dynare.org/user_avatar/forum.dynare.org/jpfeifer/32/5044_2.png) [@jpfeifer](https://forum.dynare.org/u/jpfeifer)\
**Post date:** [27 August 2013 14:40 UTC](https://forum.dynare.org/t/question-on-conditional-variance-series/3338/7 "2013-08-27T14:40:33Z")

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For example, I changed the variance in the shocks-block and beta.

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<div class="post-metadata">

**Author:** ![YiJohn](https://forum.dynare.org/letter_avatar_proxy/v4/letter/y/dc4da7/32.png) [@YiJohn](https://forum.dynare.org/u/YiJohn)\
**Post date:** [27 August 2013 21:31 UTC](https://forum.dynare.org/t/question-on-conditional-variance-series/3338/8 "2013-08-27T21:31:23Z")

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Dr. jpfeifer,

Thanks a lot for your reply.

Best,  
Yi