# Garch modelling on Stata

I would like to ask "how to do GARCH modelling on stata".

Basically I want to estimate stock market volatility using daily data. I have one variable as return series, $r_t=\ln(\frac{P_t}{P_{t-1}})$.

I need a step by step explanation.

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Migrate to stats.SE? –  Tal Fishman Sep 2 '11 at 11:24
@sheegaon -- Good point. But it's a RTFM answer (or a LMGTFY answer) that doesn't add much to either community. I will see if the QF community closes. –  Richard Herron Sep 2 '11 at 14:14
@richardh Agreed. Time to see if the community can police itself. –  chrisaycock Sep 2 '11 at 14:21
Is there a way for the community to request a migrate? I myself am marginal about the close, since I think it could be a valid question, I just think the OP will find better answers on the much more well-trafficked stats.SE, as the question itself does not require knowledge of finance to answer. –  Tal Fishman Sep 2 '11 at 14:29
@sheegaon The close dialogue box should have an option under "Off Topic" that the question belongs on another SE site. At least that's what the moderators see; I'm not sure if that choice requires higher privileges. –  chrisaycock Sep 2 '11 at 14:39
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I don't use Stata often, but the help() function is typically very good. Try help(garch). It looks like the command is

garch _depvar_ _indepvars_ _options_

Here's the help page on the web.

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