*
* Example 3.4 from page 137
*
cal(m) 1926
open data ch03_ibm&sp500_m(26-99).dat
data(org=columns) 1926:1 1999:12 rt r1 u
graph(header="IBM")
# rt
graph(header="S&P 500 Index")
# r1
garch(regressors,p=1,q=1,resids=at,hseries=fv) / rt
# constant rt{1}
set resid = at/sqrt(fv)
set residsq = resid**2
@regcorrs(number=20) resid
@regcorrs(number=20) residsq
garch(reg,xreg,p=1,q=1,resids=at,hseries=fv) / rt
# constant rt{1}
# u