Hello Trubador,
Thank you very much for your answer, this was just what i needed. Now i just need to introduce the standard errors in the table for each coeficient, do you know which command brings that to the table?
Thanks again for your answer!
Ulysse
Search found 3 matches
- Fri Aug 28, 2009 10:35 am
- Forum: Programming
- Topic: Exporting GARCH condiitonal variance terms
- Replies: 3
- Views: 4684
- Wed Aug 26, 2009 10:16 am
- Forum: Programming
- Topic: Exporting GARCH condiitonal variance terms
- Replies: 3
- Views: 4684
Exporting GARCH condiitonal variance terms
Hello, I am currently trying to develop a rolling GARCH program for my thesis. The forum has been helpful for the structure, however i am still trying to find out how i can export the coefficients of the conditional variance in a table after each roll. scalar noobs=2870 scalar nw=200 matrix(noobs-nw...
- Wed Aug 05, 2009 10:28 am
- Forum: Programming
- Topic: Rolling GARCH with constraint in the conditional variance
- Replies: 1
- Views: 5056
Rolling GARCH with constraint in the conditional variance
Hey, I am currently working on my thesis, and trying to develop a sliding window (rolling?) GARCH(1;1) analysis on stock index data. The idea is to perform a GARCH/TARCH analysis on a dataset of 3000 daily observations with a fixed sliding window of 300 observations. I have the following information...