*
* Example 10.1 from pp 445-447
*
open data hkja.dat
data(format=free,org=columns) 1 469 hk ja
spgraph(vfields=2,footer="Figure 9.1 Time Plots of Daily Log Returns")
graph(header="(a) Hong Kong")
# hk
graph(header="(b) Japan")
# ja
spgraph(done)
*
* Univariate GARCH models
*
garch(p=1,q=1,reg,resids=hkres,hseries=hkvar) / hk
# constant hk{6}
*
* Diagnostics on the standardized residuals
*
set ustd   = hkres/sqrt(hkvar)
set ustdsq = ustd**2
corr(qstats,dfc=1,number=4) ustd
corr(qstats,dfc=2,number=4) ustdsq
*
disp "Unconditional Variance for Hong Kong" %beta(2)/(1-%beta(3)-%beta(4))
*
garch(p=1,q=1,resids=jares,hseries=javar) / ja
set ustd   = jares/sqrt(javar)
set ustdsq = ustd**2
corr(qstats,dfc=1,number=4) ustd
corr(qstats,dfc=2,number=4) ustdsq
disp "Unconditional Variance for Japan" %beta(1)/(1-%beta(2)-%beta(3))
*
spgraph(vfields=2,footer="Figure 10.2 Estimated Volatilities")
graph(header="(a) Hong Kong")
# hkvar
graph(header="(b) Japan")
# javar
spgraph(done)
*
* EWMA(1)
*
garch(p=1,q=1,mv=ewma) / hk ja