Generate conditional variance series.
Saves the estimated conditional variance (from an equation estimated using ARCH) as a named series.
Syntax
eq_name.makegarch series1_name [@ series2_name]
You should provide a name for the saved conditional standard deviation series following the makegarch keyword. If you do not provide a name, EViews will name the series using the next available name of the form “GARCH##” (if GARCH01 already exists, it will be named GARCH02, and so on).
For component GARCH equations, the permanent component portion of the conditional variance may be saved by adding “@” followed by a series name.
Options
prompt | Force the dialog to appear from within a program. |
Examples
equation eq1.arch sp c
eq1.makegarch cvar
plot cvar^.5
estimates a GARCH(1,1) model, saves the conditional variance as a series named
CVAR, and plots the conditional standard deviation. If you merely wish to view a plot of the conditional standard deviation without saving the series, use the
Equation::garch view.
The commands
equation eq1.arch(cgarch) sp c
eq1.makegarch cvar @ pvar
first estimates a Component GARCH model and then saves both the conditional variance and the permanent component portion of the conditional variance in the series CVAR and PVAR, respectively.
Cross-references
See
“ARCH and GARCH Estimation” for a discussion of GARCH models.