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!

To provide some background, the help for 'arch' says: "This command is retained at present for backward compatibility, but you are better off using the maximum likelihood estimator offered by the garch command; for a plain ARCH model, set the first GARCH parameter to 0." In the GUI you also go directly through garch and then you can save the predicted variance from the menu. (BTW, doing 'arch 1 r' --i.e. specifying no explicit constant-- provokes just a generic data error. I think the error message could be more informative. Apart from that, aren't there legitimate cases where you are working with mean-zero series?)

Am 17.01.2019 um 10:37 schrieb Riccardo (Jack) Lucchetti: > On Thu, 17 Jan 2019, Sven Schreiber wrote: > >> To provide some background, the help for 'arch' says: "This command is >> retained at present for backward compatibility, but you are better off >> using the maximum likelihood estimator offered by the garch command; for a >> plain ARCH model, set the first GARCH parameter to 0." >> >> In the GUI you also go directly through garch and then you can save the >> predicted variance from the menu. >> >> (BTW, doing 'arch 1 r' --i.e. specifying no explicit constant-- provokes >> just a generic data error. I think the error message could be more >> informative. Apart from that, aren't there legitimate cases where you are >> working with mean-zero series?) > > Would it be unthinkable to just retire the "arch" command? From the changelog it has been deprecated since 2011, so I guess it wouldn't be a rushed decision, hehe... It must remain as a cross-reference in the help, though, I'd say.