Conditional variance/covariance of (G)ARCH estimation.
Displays the conditional variance, covariance or correlation of an equation estimated by ARCH.
Syntax
eq_name.garch(options)
Options
v | Display conditional variance graph instead of the standard deviation graph. |
p | Print the graph |
Examples
equation eq1.arch sp500 c
eq1.garch
estimates a GARCH(1,1) model and displays the estimated conditional standard deviation graph.
eq1.garch(v, p)
displays and prints the estimated conditional variance graph.
Cross-references
ARCH estimation is described in
“ARCH and GARCH Estimation”.