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garch_sigt

Generates garch sigmas

CALLING SEQUENCE

sigt=garch_sigt(y,x,param,nar,nma)

PARAMETERS

Input

• y = data vector

• x = data matrix

• param = vector of parameters

• nar = # of ar parameters

• nma = # of ma parameters

Output

• sigt=(nx1) vector of sigma(t) estimates

DESCRIPTION

Generates garch model sigmas over time given maximum likelihood estimates.

EXAMPLE

load(GROCERDIR+'/data/garchd.dat')
 
bounds('1949q1','1983q4')
r1 = ols('gnpdef','cte','lagts(gnpdef)','lagts(2,gnpdef)','lagts(3,gnpdef)','lagts(4,gnpdef)');
bet = r1('beta');
s = r1('sige');
[y,namey,x]=explouniv('gnpdef',list('cte','lagts(gnpdef)','lagts(2,gnpdef)','lagts(3,gnpdef)','lagts(4,gnpdef)'));
parm=[bet ; s ; 0 ; 0 ]

sigt = garch_sigt(y,x,parm,1,1);

AUTHOR

Eric Dubois 2002

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