Conditional Variances, Standard Deviations, Residuals

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The goal of an ARCH/GARCH estimation is frequently the estimation and retrieval of the conditional variances, or "volatilities". The conditional variances can be installed in the FANPAC global, _fan_CV by a call to getCV:

    getCV;
This puts the conditional variances for all of the runs in the session into _fan_CV. To get them for a particular run add the run name to the call:
    getCV run2;

plotCV generates a plot of the conditional variances and additionally puts them into _fan_CV. Also, some investigators would prefer a plot of the conditional standard deviations rather than variances. For this, call plotCSD.

getSR causes the standardized residuals to be stored in the FANPAC global, _fan_SR. To get the unstandardized residuals, call getResiduals which causes the unstandardized residuals to be stored in _fan_Residuals.



R. Schoenberg
1999-03-29