makegarch |

Generate conditional variance series.

Saves the estimated conditional variance (from an equation estimated using ARCH) as a named series.

Syntax

eq_name.makegarch series1_name [@ series2_name]

You should provide a name for the saved conditional standard deviation series following the makegarch keyword. If you do not provide a name, EViews will name the series using the next available name of the form “GARCH##” (if GARCH01 already exists, it will be named GARCH02, and so on).

For component GARCH equations, the permanent component portion of the conditional variance may be saved by adding “@” followed by a series name.

Options

prompt | Force the dialog to appear from within a program. |

Examples

equation eq1.arch sp c

eq1.makegarch cvar

plot cvar^.5

estimates a GARCH(1,1) model, saves the conditional variance as a series named CVAR, and plots the conditional standard deviation. If you merely wish to view a plot of the conditional standard deviation without saving the series, use the Equation::garch view.

The commands

equation eq1.arch(cgarch) sp c

eq1.makegarch cvar @ pvar

first estimates a Component GARCH model and then saves both the conditional variance and the permanent component portion of the conditional variance in the series CVAR and PVAR, respectively.

Cross-references

See “ARCH and GARCH Estimation” for a discussion of GARCH models.