A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive (VAR) analysis. A number of di erent models for heteroskedasticity or conditional heteroskedasticity are proposed and used in applications in this context. This study reviews the di erent volatility models and points out their advantages and drawbacks. It thereby enables researchers wishing to use identi cation of structural VAR models via heteroskedasticity to make a more informed choice of a suitable model for a speci c empirical analysis. An application investigating the interaction between U.S. monetary policy and the stock market is used to illustrate the related issues.