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st: RE: A Garch model


From   "Salvati, Jean" <JSalvati@imf.org>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: A Garch model
Date   Mon, 25 Oct 2004 09:34:42 -0400

The -het(varlist)- option for the ARCH command allows you to specify independent variables in the equation for the conditional variance.

Jean Salvati
 

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Nazaria Solferino
> Sent: Monday, October 25, 2004 7:48 AM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: A Garch model
> 
> I'm trying to estimate a Garch model where I need to put as 
> regressor in the conditional variance equation a dummy 
> variable (assuming value 1 for the year i)multiplied for the 
> lagged squared residuals. How may I perform it with Stata? 
> 
> 
> 		
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