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by nagasaki
Fri Oct 30, 2009 4:01 pm
Forum: Estimation
Topic: Estimation of conditional variance with GARCH(1,1)
Replies: 2
Views: 3436

Re: Estimation of conditional variance with GARCH(1,1)

Code: Select all

eq1.makegarch condvar
Thanks, trubador.
I'll try.
by nagasaki
Fri Oct 30, 2009 6:55 am
Forum: Estimation
Topic: Estimation of conditional variance with GARCH(1,1)
Replies: 2
Views: 3436

Estimation of conditional variance with GARCH(1,1)

To estimate conditional variance or standard deviation, it is simply programmed as follows: equaion eq1.arch sp500 c And we can view graph of conditional variance to write down as follows: eq1.garch But I wonder how I can store this conditional variance series in a spread sheet or smeting. I expect ...

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