Generates garch sigmas
sigt=garch_sigt(y,x,param,nar,nma)
* y = data vector
* x = data matrix
* param = vector of parameters
* nar = # of ar parameters
* nma = # of ma parameters
* sigt = (nx1) vector of sigma(t) estimates
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); | ![]() | ![]() |