The interpretation of the syntax is as follows. Its conditional variance in the previous time period.įollow this command for using GARCH model: arch logRE_d1, arch(1) garch(1).Squared error term in the previous time period (ARCH1).In GARCH model, the conditional variance of error term at time ‘t’ depends on the following: Like ARCH model, ARCH extensions like Generalised ARCH ( GARCH) model also need squared residuals as determinants of the equation’s variance. The present article shows extensions of ARCH, i.e.
The previous article showed time series using autoregressive conditional hetroskedasticity ( ARCH) model in STATA.
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