On Thu, Jul 14, 2011 at 1:14 PM, Oscar Soppelsa <oscar.soppelsa(a)bancaakros.it> wrote: > > I’ve looked for the console command to show the coefficient > confidence intervals after having estimated a GARCH model.
You have to set this up yourself. For example: open b-g.gdt garch 1 1 ; Y matrix b = $coeff ~ $stderr # 95 percent confidence scalar a = 0.05 scalar pm = invcdf(z, 1 - a/2) b ~= (b[,1] - pm*b[,2]) ~ (b[,1] + pm*b[,2]) colnames(b, "coeff stderr low high") print b Allin Cottrell
