When I run this code in Matlab, the command window say this: Undefined function 'VAR_OLS' for input arguments of type 'double'. Error in Q2 (line 29) [AR_3d,Chol_Var] = VAR_OLS(Z,pp,1,[]);

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I'm sorry. Do you expect anyone to actually read that image as pasted in? How can you hope for an answer with only that information?
Apparently you do not have a function called VAR_OLS. But MATLAB already told you that.

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Make sure that file "VAR_OLS" is available in your working directory

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It need ONLY be on your search path. All functions do not need to be in the working directory. Search paths are a great way to manage functions.
Thank you, i forgot to make the Var_Ols code and place it in my working directory !
Can you please send me VAR_OLS.m file to ogozc@istanbul.edu.tr

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