Object Reference : Object View and Procedure Reference : System
  
 
makegarch
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.
See also System::arch, System::arch, Equation::archtest, and System::garch.