Conditional variance/covariance of (G)ARCH estimation.
Displays the conditional variance, covariance or correlation of a system estimated by ARCH.
Syntax
system_name.garch(options) [arg1, arg2, ...]
The optional arguments following the keyword indicate which endogenous variable to include. If no argument is provided, all variables in the system will be included.
Options
cor | Display correlation. |
cov (default) | Display covariance. |
var | Display only variance. |
sd | Display only standard deviation. |
graph (default) | Display data in graph. |
mat | Display data in matrix format. |
list | Display data in list format. |
smpl=arg | Date to return conditional covariance value. |
pre | Include presample data (used with the mat option only). |
prompt | Force the dialog to appear from within a program. |
p | Print the graph |
Examples
sys1.garch(cor)
displays the conditional correlation graph of SYS1.
Cross-references
ARCH estimation is described in
“ARCH and GARCH Estimation”.