Hello.

I am working to build a CAPM-GARCH model in Stata in order to explain and predict the returns of some ADRs. First of all, I regress the excess of return of certain stock against the excess of returns of the market (returns of NYSE composite) by OLS.

When I start trying to model variance equation, first I try to find if there are any ARCH effects. To do that, after OLS regressión I use "estat archlm, lags(1)", and Stata says that there are no observations r(2000);

Do you know an alternative way to find if there are any ARCH effects or if my commands aren't okay?

Thanks