Nick,
PS: predict cev, variance
should compute the time specific conditional variance, sigma_{t}^2, for you.
- Bob
Robert A. Yaffee, Ph.D.
2100 Linwood Avenue
Apt 19-W
Fort Lee, NJ
07024-3171
Phone: 201-242-3824
Fax: 201-242-3825
[email protected]
----- Original Message -----
From: Robert A Yaffee <[email protected]>
Date: Sunday, November 21, 2004 8:32 pm
Subject: Re: st: GARCH model estimation and calculation of sigma-t-squared in STATA 8.0
> 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
> [email protected]
>
> ----- Original Message -----
> From: Nick Burger <[email protected]>
> 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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