Re: [Gretl-users] how to generate garch

On Thu, 2 Dec 2010, Remigijus Lapinskas wrote: No, it isn't. The script I posted earlier generates a generic GARCH(p,q) model. If all you want is an ARCH(1) model, you only need this: <script> nulldata 16384 set seed 1234 setobs 1 1 --special-time-series e = normal() a = 0.8 omega = 1 series h = omega / (1-a) series h = omega + a * h(-1) * e(-1)^2 y = e * sqrt(h) garch 0 1 ; y --nc </script> Riccardo (Jack) Lucchetti Dipartimento di Economia Università Politecnica delle Marche r.lucchetti(a)univpm.it http://www.econ.univpm.it/lucchetti