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Conditional Variances, Standard Deviations, Residuals

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The goal of an ARCH/GARCH estimation is frequently the estimation and retrieval of the conditional variances, or "volatilities". The conditional variances can be installed in the FANPAC global, _fan_CV by a call to getCV:

    getCV;

    getCV run2;

plotCV generates a plot of the conditional variances and additionally puts them into _fan_CV. Also, some investigators would prefer a plot of the conditional standard deviations rather than variances. For this, call plotCSD.

getSR causes the standardized residuals to be stored in the FANPAC global, _fan_SR. To get the unstandardized residuals, call getResiduals which causes the unstandardized residuals to be stored in _fan_Residuals.

• Basic Use
  • Initializing the Session
  • Defining the Dataset
  • The Dependent Variable
    • Transforming the Dependent Variable
    • Direct Transformation
  • The Independent Variables
    • setIndVars
    • setIndEqs
    • setCVIndEqs
    • Transforming Independent Variables
  • The Estimation
  • Displaying Results
    • Conditional Variances, Standard Deviations, Residuals
    • Forecasts
• Advanced Use
• Session File
• Modifying NLP globals
• Start Values
  • Saving and Retrieving Estimates for Start Values
    • Retrieval of Start Values
    • Direct Retrieval of Estimates
• Working with NLP
• Appendix A
  • Session Entries
  • Run Entries
• About this document

R. Schoenberg
1999-03-29