*
* Example 11.8 from page 245
* GARCH model
*
open data tablef11-1[1].txt
data(format=prn,org=columns) 1 1974 y
graph(footer="Figure 11.3 Nominal Exchange Rate Returns")
# y
*
linreg y
# constant
set esq = %resids**2
linreg esq
# esq{1 to 10} constant
*
* The results given in the text (1st printing) for this test aren't correct
*
cdf(title="Test for ARCH/GARCH") chisqr %trsq 10
*
garch(p=1,q=1) / y
summarize(title="Equilibrium Variance") %beta(2)/(1-%beta(3)-%beta(4))