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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 21:02:50 -0500

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
yaffee@nyu.edu

----- Original Message -----
From: Robert A Yaffee <bob.yaffee@nyu.edu>
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
> 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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