On Wed, 16 Jan 2019, Elisabetta M. wrote:
Hello everyone!
I am currently working on an ARCH model. I already carried out my ARCH 1
model and got the coefficients in my script output. However, I can't find a
way to make Gretl show me (and save) the data on the volatility predicted
by the model, that should come under the form of a time-series. I need to
get these data and save them as a new variable in my dataset. Has anyone
got any tip on how to do it? I looked for it in the users' guide, gretl
function/command reference but wasn't very lucky, I only found something of
the sort on GARCH models ($h), that unfortunately doesn't work with ARCH.
Thank you for your time and your help!
Does this help?
<hansl>
open djclose
series r = 100*ldiff(djclose)
garch 0 1 ; r
series vola = $h
</hansl>
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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