Object Reference : Object View and Procedure Reference : System
  
 
garch
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”.