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

From   Robert A Yaffee <[email protected]>
To   [email protected]
Subject   Re: st: GARCH model estimation and calculation ofsigma-t-squared in STATA 8.0
Date   Sun, 21 Nov 2004 20:32:46 -0500

 I'm not sure what model you are trying to run. If you wish to run a AR(1) GARCH(1,1) model, you might try something like
arch return l.return, arch(1) garch(1).
  Best wishes,
      Bob Yaffee  

Robert A. Yaffee, Ph.D.
2100 Linwood Avenue
Apt 19-W
Fort Lee, NJ
Phone: 201-242-3824
Fax: 201-242-3825
[email protected]

----- Original Message -----
From: Nick Burger <[email protected]>
Date: Sunday, November 21, 2004 7:42 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
> *
> *   For searches and help try:
> *
> *
> *
n:Yaffee;Robert A
fn:Robert A Yaffee, Ph.D.
org:Research/Statistical Consulting;
adr:;;2100 Linwood Avenue,  Apt 19-W;Fort Lee;N.J.;07024;USA
email;internet:[email protected]

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