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Re: st: GARCH model estimation and calculation ofsigma-t-squared in STATA 8.0


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: GARCH model estimation and calculation ofsigma-t-squared in STATA 8.0
Date   Sun, 21 Nov 2004 20:32:46 -0500

Nick,
 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).
  Best wishes,
      Bob Yaffee  

Robert A. Yaffee, Ph.D.
2100 Linwood Avenue
Apt 19-W
Fort Lee, NJ
07024-3171
Phone: 201-242-3824
Fax: 201-242-3825
yaffee@nyu.edu

----- Original Message -----
From: Nick Burger <nburger@bren.ucsb.edu>
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. **
> 
> 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/
> 
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