Generate conditional variance series.
Saves the estimated conditional variance (from a system estimated using ARCH) as a named series. You may also save the conditional covariance or correlation.
Syntax
system_name.makegarch(options) [series1_name series2_name]
The optional series name arguments following the makegarch keyword indicate which endogenous variables to include. If no argument is given, all variables in the system will be included.
Options
cor | Generate conditional correlation. |
cov (default) | Generate conditional variance and covariance. |
var | Generate conditional variance. |
mat | Output as a matrix (default is to output as a series). |
name=arg | Base name or matrix name of the data to be saved. |
date=arg | Date to return conditional covariance value (used only with the mat option). |
pre | Include presample data (used only with the mat option). |
prompt | Force the dialog to appear from within a program. |
Examples
sys01.makegarch
creates conditional variances and conditional covariance series using the default names GARCH_01, GARCH_02, etc. for the conditional variance and GARCH_01_02, GARCH_01_03, etc. for the conditional covariance.
sys01.makegarch(mat, cor, date=12/11/2000, name=cov_mat)
creates a matrix named COV_MAT that contains the conditional correlation for the date 12/11/2000.
Cross-references
See
“ARCH and GARCH Estimation” for a discussion of GARCH models.