*
* Example 10.2 from pp 449-451
*
calendar(m) 1965
open data m-mrk6503.txt
data(format=free,org=columns) 1965:1 2003:12 time mrk
open data m-pfe6503.txt
data(format=free,org=columns) 1965:1 2003:12 time pfe
*
garch(p=1,q=1,hmatrices=hh,rvector=rr) / pfe mrk
*
set stdpfe = rr(t)(1)/sqrt(hh(t)(1,1))
set stdmrk = rr(t)(2)/sqrt(hh(t)(2,2))
@regcorrs(number=12) stdpfe
@regcorrs(number=12) stdmrk
set stdpfesq = stdpfe**2
set stdmrksq = stdmrk**2
@regcorrs(number=12) stdpfesq
@regcorrs(number=12) stdmrksq
*
@mvqstat(lags=10)
# stdpfe stdmrk
@mvqstat(lags=10)
# stdpfesq stdmrksq
*
set hpfe = sqrt(hh(t)(1,1))
set hmrk = sqrt(hh(t)(2,2))
set rho  = hh(t)(1,2)/(hpfe*hmrk)
*
spgraph(vfields=3,footer="Figure 10.5 Estimate volatilities and time-varying correlations of a DVEC(1,1) model")
graph(header="(a) PFE volatility")
# hpfe
graph(header="(b) MRK volatility")
# hmrk
graph(header="(c) Time-varying correlations")
# rho
spgraph(done)