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st: estimating residuals with an A-GARCH model


From   Kuncho Tsilkov <[email protected]>
To   "[email protected]" <[email protected]>
Subject   st: estimating residuals with an A-GARCH model
Date   Sat, 10 Dec 2011 04:09:25 -0800 (PST)

 Hi all,
 
I have the following model that I estimate using an A-GARCH model:
 
Ret(US,t) = a(0) + a (1) R(US,t-1) + e(US,t) 
 
After I have run the model I would like to estmate the residual for the US.
The first way I did it is using the following Stata code:
 
gen residual_us = (return_us - _b[_cons])
 
The second way is to use:
 
predict residual_us, residual
 
So my question is what is the difference between the two as they give different values?

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