"predict H*, variance" after "mgarch dcc" with by

[Stan Peterburgsky]

Happy holidays!
I am looking for a workaround for predict H*, variance after mgarch dcc with by prefix. The issue is that mgarch dcc allows by prefix, but predict H*, variance post-estimation command does not. Is there a way to get an equivalent result? Essentially, I'm looking for by ID : predict H* , variance after running by ID: mgarch dcc (Y X = , noconstant), arch(1) garch(1).
Thank you very much.

[Andrew Musau]

Assuming that ID is a numerical variable:

levelsof ID, local(IDs)
foreach ID of local IDs{
    mgarch dcc (Y X = , noconstant) if ID==`ID', arch(1) garch(1)
    predict H`ID' if ID==`ID', variance
}

If string, add the double quotes or encode and then loop over the encoded variable.

[Stan Peterburgsky]

Thank you. The code above gives predictions for variance of Y. What I need is variance of Y, variance of X and covariance between Y and X. Normally, predict H* , variance creates 3 variables (assuming there is only Y and X to start with) corresponding to the two variances and one covariance. Is there a minor modification to the code above that would create the other variables I'm looking for?

[Andrew Musau]

Just add the asterisk to the predict command.

levelsof ID, local(IDs)
foreach ID of local IDs{
    mgarch dcc (Y X = , noconstant) if ID==`ID', arch(1) garch(1)
    predict H`ID'* if ID==`ID', variance
}