Exporting GARCH condiitonal variance terms

[ulysse]

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,1) results

for !i=nw to noobs
smpl !i-nw !i
equation garch_n
garch_n.ARCH(1,1) dtsx60 @ tsx60vol

The results should be exported at this point into a table, but how???

!i=!i+50

next

I would also like to know wether it is correct or not to introduce volume as an endogenous variable in the conditional variance with @tsx60vol...

Thank you very much for your help!

Ulysse

[trubador]

You should first decide which parameters will be saved. Constructing a table is very easy in EViews. As an example, the following command will generate a 5x2 table and will name it as results:

Code: Select all

table(5,2) results

The following code, on the other hand, will label the first column and then assign the related coefficient values to the second column:

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for !i=1 to 5 results(!i,1) = "coef" + @str(!i) results(!i,2) = garch_n.@coefs(!i) next

[ulysse]

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

[trubador]

Code: Select all

garch_n.@stderrs(!i)