Volatilities with hp-filtering smoothing coefficient

Stochastic simulations
1

Hello, I have a doubt about how to compute volatilities with hp-filtering smoothing coefficient.
I need to simulate an SOE model with shocks for 150000 periods, dropping the first 30000 values and hp-filtering the simulated data with a smoothing coefficient of 100, in order to obtain the volatilities of my variables (y, c, h, I, tb/y, ca/y, d, r). I don’t know what the command for volatilities is and I can’t find anything on Dynare’s manual. Would it be this?

stoch_simul(irf=150000,nomoments,order=1,drop=30000,hp-filter=100) y c h i tby cay d r;

Shouldn’t I add a command to make Dynare compute the volatility? Also, is the hp-filter correct?

Thank you very much! We only received a very short introduction on Dynare and I’m lost.

2

It should be

stoch_simul(order=1,periods=150000,drop=30000,hp_filter=100) y c h i tby cay d r;

This should display the second moments. periods is for simulations, irf would only govern the IRF horizon.