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GARCH Conditional Standard Deviation

Posted: Mon Jan 17, 2011 4:59 pm

by brennan6738

Can someone tell me exactly how I can interpret the Standard Deviation output from a GARCH model (attached)?

: STDEV.gif (5.7 KiB) Viewed 5324 times

Is that an annualized Standard Deviaition? Also, is there a way to get the output in a table?

Re: GARCH Conditional Standard Deviation

Posted: Mon Jan 17, 2011 8:06 pm

by EViews Gareth

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