Code for Dufour et al paper

[msrahman]

Hello RATS user,

Does anyone have the code for the following paper to test the ARCH effects in multivariate form?

“MULTIVARIATE RESIDUAL-BASED FINITE-SAMPLE TESTS FOR SERIAL DEPENDENCE AND ARCH EFFECTS WITH APPLICATIONS TO ASSET PRICING MODELS”, JEAN-MARIE DUFOUR, LYNDA KHALAF AND MARIE-CLAUDE BEAULIEU J. Appl. Econ. 25: 263–285 (2010)

Thanks.

Sincerely
S Rahman