GARCH Conditional Standard Deviation

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brennan6738
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Joined: Tue Sep 08, 2009 1:28 pm

GARCH Conditional Standard Deviation

Postby brennan6738 » Mon Jan 17, 2011 4:59 pm

Can someone tell me exactly how I can interpret the Standard Deviation output from a GARCH model (attached)?
STDEV.gif
STDEV.gif (5.7 KiB) Viewed 5323 times
Is that an annualized Standard Deviaition? Also, is there a way to get the output in a table?
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EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
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Joined: Tue Sep 16, 2008 5:38 pm

Re: GARCH Conditional Standard Deviation

Postby EViews Gareth » Mon Jan 17, 2011 8:06 pm

It is just the square root of the GARCH variance. You can get the GARCH variance by Proc->Make GARCH Variance Series.
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