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From |
Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

Subject |
Re: st: A univariate GARCH model |

Date |
Mon, 25 Jul 2011 16:00:16 -0400 |

To estimate GARCH models, use the -arch- command. For example, to estimate a GARCH(1,1) model similar to what you specified (did not test the code, not sure if it converges): webuse wpi1 arch D.ln_wpi, arima(4,0,0) arch(1) garch(1) and to get the standardized residuals e(star) predict res, resid predict h, var gen stdres=res/h _______________________ Jorge Eduardo Pérez Pérez On Mon, Jul 25, 2011 at 12:45 PM, Erkal Ersoy <erkal6@gmail.com> wrote: > > Hello Statalisters, > > I am having trouble estimating a model in which I am using a > GARCH(1,1) process to compute the conditional variance of the error > term. The model can be summarized as follows (I use underscore "_" to > denote a subscript): > > z_t = a + b1*z_1 + b2*z_2 + b3*z_3 + b4*z_4 + e_t.... (1) > > where e_t | I_t ~ N(0, h_t) and I_t is the information set available at time t. > > Also, e(hat) = z_t - z_t(hat) ..........................................(2) > and lastly, > > h_t = c0 + c1*e^2_(t-1) + c2*h_(t-1) ............................(3) > > What I would like to do now is construct a normalized variable, > e(star), as follows: > > e(star)= e(hat) / sqrt(h_t) .............................................(4) > > In order to get here, I need to estimate the coefficients c0, c1 and > c2. Obtaining the residuals in equation (1) is no problem of course. > Once I have done that, however, I am having a difficult time isolating > the variance, h_t, so that I can regress it on e(hat)-squared and the > first lag of h_t. Is there a way to do something like this? > > I also took a look at Stata's dvech command, but I'm not entirely sure > that's useful here. I would appreciate any help very much. Thank you > all in advance for your time and help. > > Best, > Erkal > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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