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st: GARCH-filtered time series
From
"Leif Peterson" <[email protected]>
To
<[email protected]>
Subject
st: GARCH-filtered time series
Date
Mon, 18 Nov 2013 07:56:54 -0600
After fitting an AR(1)/GARCH(1,1) to log-returns, log(P_t/P_t-1), the fitted
yhat's obtained by using the syntax "predict y,y" are mostly small and
positive, while the residuals (from syntax "predict resid,resid") are closer
to the input log-returns. The yhats are actually the difference between the
log-return and the residuals, but the sign (of the difference) is not
preserved for some reason. Since it's not clear about GARCH filtered time
series in the Stata time series user guide, what is the actual predict
syntax for obtaining the "GARCH filtered" returns? LP
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