I've seen examples where people have estimated GARCH models after ARMA or ARIMA models, but how would you estimate volatility of a VAR model? For example, suppose I have the following data for three stock market indices:
ssc install getsymbols getsymbols ^FTSE ^GSPC ^N225, ya fy(2015) freq(w)
And suppose after cleaning the data I'm left with ln_FTSE, ln_GSPC, ln_N225 representing the weekly closing prices. Then after estimating a var model, for example:
var d.ln_FTSE d.ln_GSPC d.ln_N225, lags(1)
How would I go about estimating a volatility model like GARCH? Also, how would I check clustering volatility of the VAR model?