ARCH/GARCH models
Stata provides a command for the generalized autoregressive conditional
heteroskedasticity (ARCH/GARCH) family of estimators. Stata can estimate
ARCH, GARCH, EGARCH, APARCH, NARCH, AARCH, GJR, and ARCH-in-mean models.
The models may also include autoregressive moving average (ARMA)
disturbances. Dynamic multiperiod predictions can be made along with
one-step predictions.
Explore Stata 12’s resources on ARCH/GARCH models.
Stata is also a complete integrated statistical package that provides
everything you need for data analysis, data management, and graphics.
To learn more, click here.
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