Dear all,

I am doing bilateral trade research and use pairs of countries as my panels. This implies I have around 22.000 panels. I would like to use GARCH to calculate the volatility of the bilateral exchange rate of each country pair. I would therefore have to do 22.000 GARCH calculations. Writing the code to do so could be automated to save time, but running 22.000 GARCH calculations would take days. Is there perhaps one command that would allow me to do this relatively time-efficient? Surely there must be more individuals that have executed GARCH analysis in large panel data set. I, however, can't find a satisfying answer online.

So far, I have been using this code:

arch BilER if pairid==1 , arch(1) garch(1)
predict vol1 if pairid==1, variance
arch BilER if pairid==2 , arch(1) garch(1)
predict vol2 if pairid==2, variance
gen 1Vol = Vol1 + Vol2
drop Vol1 Vol2