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!
Elisabetta