Object Reference : Object View and Procedure Reference : Equation
Generate conditional variance series.
Saves the estimated conditional variance (from an equation estimated using ARCH) as a named series.
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.
Force the dialog to appear from within a program.
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.
See “ARCH and GARCH Estimation” for a discussion of GARCH models.
See also Equation::arch, Equation::archtest, and Equation::garch.