** 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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