*
* Examples from pp 109-113
* ARCH models on Intel stock returns
*
calendar(m) 1973
open data ch03_intel_m(73-03).txt
data(org=columns) 1973:1 2003:12 date rate
*
garch(p=0,q=3,method=bhhh) / rate
garch(p=0,q=1,method=bhhh,resids=at,hseries=fvar) / rate
*
* We saved the residuals and variances from the ARCH(1) estimates. The following
* does the analysis of the correlations of the standardized residuals, their
* absolute values and their squares
*
set resi = at/sqrt(fvar)
set resiabs = abs(resi)
set resisq = resi**2
@RegCorrs(number=24,report,title="Standardized Residuals") resi
@RegCorrs(number=24,report,title="Absolute Standardized Residuals") resiabs
@RegCorrs(number=24,report,title="Squared Standardized Residuals") resisq
graph
# resi
*
garch(p=0,q=1,dist=t,shape=5,resids=at,hseries=fvar) / rate
set resi   = at/sqrt(fvar)
set resisq = resi**2
@RegCorrs(number=24) resi
@RegCorrs(number=24) resisq
garch(p=0,q=2,dist=t,shape=5,resids=at,hseries=fvar) / rate
set resi   = at/sqrt(fvar)
set resisq = resi**2
@RegCorrs(number=24) resi
@RegCorrs(number=24) resisq