GAUSS garchFit Example

Introduction

The following is an example of implementing the garchFit procedure for GARCH models.

Estimate the model

This example uses previously simulated data stored in the GAUSS dataset "garch.dat". The actual parameters for simulation are $\beta_0 = .01$,  $garch_1 = 0.3$,  $arch_1 = 0.2$ and  $\omega = 0.01$. A GARCH(1,1) model can be estimated in a single line using the GAUSS formula string syntax

new;
library tsmt;

// Get file name with full path
dataset = getGAUSSHome() $+ "pkgs/tsmt/examples/garch.dat";

// Estimate model using variable 'y' from the dataset
call garchFit(dataset, "y", 1, 1);

Output

The output reads:

Normal Solution

AIC 3.2e+02
lrs 3.1e+02

             Coefficients   lower cl    upper cl
beta0[1,1]         0.0121    -0.0035      0.0277
garch[1,1]         0.1521    -0.4623      0.7666
arch[1,1]          0.1850     0.0176      0.3524
omega[1,1]         0.0143     0.0018      0.0267 

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