Predicting y_hat from a ARCH model

the_mortiz

New Member
Hi,
I want to do something very easy, but it doesnt work!

I need to see the predictions (and errors) of a GARCH model. The Main Variable es "dowclose", and my idea is look if the GARCH model has a good fitting on this variable.

Im using this easy code, but the prediction are just 0's :shakehead

Code:
webuse dow1.dta
arch dowclose, noconstant arch(1 2) garch(1 2)
predict dow_hat, y