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Discussions of ARCH, GARCH, and related models

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Last edited by IMALX7 on Tue Mar 20, 2012 8:01 pm, edited 2 times in total.
IMALX7

Posts: 3
Joined: Mon Mar 19, 2012 5:59 am

### Re: Data Generation

I assume that you mean e(t-1), not e(t), in the evolution of h. This generates 500 data points. A certain number of early ones (maybe 100) should be discarded as burn-in draws.

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`all 500** Generate the fundamental shocks*set z = %ran(1.0)set v = %ran(1.0)** Generate the exogenous x*set(first=0.0) x = 1.0+.6*x{1}+z** Start with e and h as their unconditional means*set e = 0.0set h = 1.0/(1-.4-.3)** Generate e and h together from entries 2 on*set e 2 * = h=1.0+.4*e{1}^2+.3*h{1},v*sqrt(h)** Generate y given x, h and e series*set y = 2.0+3.0*x+.8*sqrt(h)+e`
TomDoan

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### Re: Data Generation

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Last edited by IMALX7 on Tue Mar 20, 2012 8:00 pm, edited 1 time in total.
IMALX7

Posts: 3
Joined: Mon Mar 19, 2012 5:59 am

### Re: Data Generation

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IMALX7

Posts: 3
Joined: Mon Mar 19, 2012 5:59 am

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