Augmented GARCH menggunakan Stata

The augmented GARCH model is a unification of numerous extensions of the popular and widely used ARCH process. It was introduced by Duan and besides ordinary (linear) GARCH processes, it contains exponential GARCH, power GARCH, threshold GARCH, asymmetric GARCH, etc.

You need to take into account the regressors in your mean equation of
the augmented GARCH model in computing the residuals by hand:

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webuse dow1, clear
g returns = ln_dow - L.ln_dow

arch returns L.returns, arch(1) garch(1)

// automatic
predict stata_resid, residuals

// manual
g man_pred = _b[L1.returns]*L.returns + _b[_cons]
g man_resid = returns - man_pred

list *_resid in 1/10
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