Re: [Gretl-users] how to generate garch

On Thu, 2 Dec 2010, Remigijus Lapinskas wrote: > Samrat, > > These procedures are to estimate the models, but I want to generate an > articifial ARCH(1) series. Hope this helps. A bit of a hack, but hey. <script> function series gengarch(series e, matrix par, scalar p, scalar q) scalar maxpq = (p>q) ? p : q a = zeros(1,maxpq) b = zeros(1,maxpq) scalar omega = par[1] matrix a[1:p] = par[2:p+1] if (q>0) matrix b[1:q] = par[p+2:] endif series e2 = e^2 series h = omega / (1 - sumr(a) - sumr(b)) string cmd = "omega" loop for i=1..maxpq --quiet series tmp$i = a[i] * e2(-i) + b[i] sprintf tmp " + tmp%d * h(-%d)", i, i cmd += tmp end loop # printf "genr string = %s", cmd series h = @cmd return e * sqrt(h) end function nulldata 16384 set seed 1234 setobs 1 1 --special-time-series y = 1.5 + gengarch(normal(), {0.1, 0.04, 0.05, 0.9}, 2, 1) garch 1 2 ; y </script> Riccardo (Jack) Lucchetti Dipartimento di Economia Università Politecnica delle Marche r.lucchetti(a)univpm.it http://www.econ.univpm.it/lucchetti _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users