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Re: st: GARCH model estimation and calculation ofsigma-t-squared in STATA 8.0
I'm not sure what model you are trying to run. If you wish to run a AR(1) GARCH(1,1) model, you might try something like
arch return l.return, arch(1) garch(1).
Robert A. Yaffee, Ph.D.
2100 Linwood Avenue
Fort Lee, NJ
----- Original Message -----
From: Nick Burger <email@example.com>
Date: Sunday, November 21, 2004 7:42 pm
Subject: st: GARCH model estimation and calculation of sigma-t-squared in STATA 8.0
> ** Sent for a friend, Marc, who recently subscribed to statalist but
> couldn't get the message to go through.
> -Nick B. **
> 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
> * 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/
fn:Robert A Yaffee, Ph.D.
adr:;;2100 Linwood Avenue, Apt 19-W;Fort Lee;N.J.;07024;USA