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Re: st: estimating residuals with an A-GARCH model


From   Tirthankar Chakravarty <tirthankar.chakravarty@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: estimating residuals with an A-GARCH model
Date   Sat, 10 Dec 2011 04:29:50 -0800

You need to take into account the regressors in your mean equation of
the augmented GARCH model in computing the residuals by hand:

**********************************************
webuse dow1, clear
g returns = ln_dow - L.ln_dow

arch returns L.returns, arch(1) garch(1)

// automatic
predict stata_resid, residuals

// manual
g man_pred = _b[L1.returns]*L.returns + _b[_cons]
g man_resid = returns - man_pred

list *_resid in 1/10
**********************************************

T


On Sat, Dec 10, 2011 at 4:09 AM, Kuncho Tsilkov <kuncho_bg@yahoo.com> wrote:
>  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?
>
> *
> *   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/



-- 
Tirthankar Chakravarty
tchakravarty@ucsd.edu
tirthankar.chakravarty@gmail.com

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
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