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


From   "Stephen Pollard" <spollard777@comcast.net>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: GARCH model estimation and calculation of sigma-t-squared in STATA 8.0
Date   Sun, 21 Nov 2004 18:22:18 -0800

Greetings.

I am a frequent user of arch/garch models.  The manual on Time-Series (for
Stata version 8.0) has several examples, including the "code"  on how to
obtain the time specific sigma squared's, from any type of GARCH model.  A
good starting point is page 20, you can use the variance comand to obtain
what you want and then go from there.

Regards,

Stephen Pollard
Professor of Economics and Statistics
Cal State LA

----- Original Message ----- 
From: "Nick Burger" <nburger@bren.ucsb.edu>
To: <statalist@hsphsun2.harvard.edu>
Sent: 11/21/2004 4:42 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
>
> *
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