*
* CHARMA model from pp 132-133
*
open data ch03_sp500_m(26-91).dat
data(org=obs) 1 792 rt
set h = 0.0
*
nonlin mu a0 a1 a12 a2 a3
frml at = rt-mu
frml gvar    = a0+a1*at{1}**2+a12*at{1}*at{2}+a2*at{2}**2+a3*at{3}**2
frml garchln = h=gvar,%logdensity(h,at)
compute mu = 0.01, a0=0.01,a1=0.1,a12=0.01,a2=0.1,a3=0.1
maximize(method=bhhh) garchln 4 792
*
set resid   = at/sqrt(h)
set residsq = resid**2
*
* Checking standardized residuals
*
cor(qstats,number=20,span=10) resid
*
* Checking squared standardized residuals
*
cor(qstats,number=20,span=10) residsq
*
* Last few observations needed for forecasts ***
*
set shock = at
print   788  792 rt shock