Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: GARCH model estimation and calculation of sigma-t-squared in STATA 8.0


From   "Nick Burger" <nburger@bren.ucsb.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: GARCH model estimation and calculation of sigma-t-squared in STATA 8.0
Date   Sun, 21 Nov 2004 16:42:44 -0800

** Sent for a friend, Marc, who recently subscribed to statalist but
couldn't get the message to go through. 
-Nick B. **

Hello,

I have only recently been introduced to STATA, and I am trying to estimate a
garch model for stock returns.  I was able to run the model using the
following syntax: 

arch(return return_1) arch(1/1) garch(1/1)

but I am now interested in having STATA produce the time-specific
sigma-squared's from the GARCH model for me, and I have been unable to find
any code for this process.  In the help file, under options to the arch()
function, it mentions that garch(numlist) specifies the GARCH terms (lags of
s_t^2).  However, when I type in garch() after having run the arch model in
the syntax above, I receive the following error message:

"unrecognized command: garch"

I am anxious to hear any insight that you might offer to this problem.
Thanks for your time

marc

*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index