How to get conditional variance & autocorrelation in GARCH?
Posted: Mon Mar 07, 2016 7:43 am
Hi Tom,
Can I ask whether the "set v = %variance" and its corresponding series in the views-series window is the conditional variance in the GARCH model? And how to get the result of conditional auto-correlation in GARCH model?
Many thanks,
Aixia
Can I ask whether the "set v = %variance" and its corresponding series in the views-series window is the conditional variance in the GARCH model? And how to get the result of conditional auto-correlation in GARCH model?
Many thanks,
Aixia
Code: Select all
OPEN DATA "C:\Users\Laptop\Desktop\A-share Index"
DATA(FORMAT=XLS,ORG=OBS)
CALENDAR(I)
compute gstart=1,gend=%ALLOCEND()
************
set r1 = P
************
nonlin b0 b1 b2 b3 a0 a1 a2 nu
compute nu=10.0
stat(NOPRINT) r1
************
set v = %variance
set u = 0.0
************
frml et = r1-b0-b1*v-(b2+b3*v)*r1{1}
frml ht = a0+a1*u{1}**2+a2*v{1}
***with t distributed errors
frml Lt = (v(t)=ht(t)), (u(t)=et(t)),%LOGTDENSITY(v,u,nu)
linreg(noprint) r1; # constant r1{1}
compute b0=%beta(1), b1=0.0, b2=%beta(2), b3=0.0
compute a0=%seesq, a1=.09781, a2=.83756
nlpar(subiter=250)
****************
maximize(method=bfgs,robust,recursive,iter=500) Lt 2 *