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Math Help - Using GARCH model in STATA

  1. #1
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    Using GARCH model in STATA

    I'm amending this post b/c I have questions about a GARCH model I found in Excel.

    I'm trying to figure out how commodities futures and affect volatility. I know I have to use a GARCH model, but I can't figure out how to use it in any of the software packages, so I downloaded a sample on for Excel. (link:http://www.vbnumericalmethods.com/finance/, first entry).

    The only problem is I don't know how the person who wrote the spreadsheet is determining the values for his/her alpha, beta, and omega. I understand what each of these represent in the GARCH formula, but how do they apply to this spreadsheet, and how can I determine them if I supplant the dates in the spreadsheet and the adjusted closing price with my own?

    Any help is desperately needed and much appreciated. Thanks!







    Hi all,

    I am a new STATA user and I have no idea how to estimate a GARCH model. I'm trying to find the effect that trading price and volumes of commodities have on future (not futures instruments, just "future") prices. I know I need to use a GARCH model but I cannot figure out how to plug them into STATA.

    My variables are currently:
    -Trade date and time
    -Trade price at a given date and time
    -Trade volume at a given date and time

    If I can figure out how to run a GARCH regression with these variables, I'll consider adding more. If anyone has any insight, I would greatly, greatly appreciate it. And, according to the academic papers I've read, it would be even more preferable to use a FIGARCH model, but as far as I can tell, there's none in STATA (but if anyone knows of anyone modules, that would be great).

    Thanks so much!
    Last edited by HFLER; March 20th 2009 at 03:59 PM. Reason: Question has changed slightly
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