DSGE-SV-affine is a MATLAB toolbox developed by Dave Rapach and Fei Tan. The toolbox implements a Bayesian MCMC algorithm for estimating risk premia in DSGE models with stochastic volatility. The MCMC algorithm is described in our paper, “Bayesian Estimation of Macro-Finance DSGE Models with Stochastic Volatility.” The toolbox is provided for researchers and comes with no performance guarantees.
Latest version: May 14, 2019