How to use stata to research the returns of stock based on EGARCH model

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First I set up an AR(4) model to estimate the returns, and then I plan to use EGARCH model to research the volatility of AR(4) model.  So the command I used is “ arch r,  ar(1/4)  earch(1)  egarch(1)” , in which “r” is the returns of stock. But stata said "invalid syntax". Who knows where I was wrong?

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关键词：Research Returns Researc search EGARCH stock research returns

how about try a log?

maybe u could try to run "set trace on"

    To fit a GARCH(#m,#k) model assuming that the errors follow Student's t
    distribution with 7 degrees of freedom, type

        . arch depvar ..., arch(1/#m) garch(1/#k) distribution(t 7)

emilychou 发表于 2012-11-16 15:42
how about try a log?

Thanks
But the returns has been diff. of log close.  

tokyo_lucas 发表于 2012-11-17 13:05
To fit a GARCH(#m,#k) model assuming that the errors follow Student's t
    distribution with ...

Thanks
I will try this.