Estimation of conditional variance with GARCH(1,1)

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nagasaki
Posts: 2
Joined: Fri Oct 30, 2009 6:22 am

Estimation of conditional variance with GARCH(1,1)

Postby nagasaki » Fri Oct 30, 2009 6:55 am

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 someone's response.
Thank you.
Regards,

trubador
Did you use forum search?
Posts: 1520
Joined: Thu Nov 20, 2008 12:04 pm

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

Postby trubador » Fri Oct 30, 2009 7:22 am

Code: Select all

eq1.makegarch condvar

nagasaki
Posts: 2
Joined: Fri Oct 30, 2009 6:22 am

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

Postby nagasaki » Fri Oct 30, 2009 4:01 pm

Code: Select all

eq1.makegarch condvar
Thanks, trubador.
I'll try.


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