*
* Example 10.4 from pp 460-462
*
open data hkja.dat
data(format=free,org=columns) 1 469 hk ja
*
* Set up the mean equations. We need to define a model (using GROUP) which
* includes the two mean equations. The equation instruction for Japan
* uses the "empty" option, because the equation has no explanatory variables.
*
equation hkmean hk
# hk{6}
equation(empty) jamean ja
group bimean hkmean jamean
*
* Constant Correlation model estimates
*
garch(p=1,q=1,mv=diag,model=bimean,hmatrices=hh,rvector=rr)
set stdhk = rr(t)(1)/sqrt(hh(t)(1,1))
set stdja = rr(t)(2)/sqrt(hh(t)(2,2))
@mvqstat(lags=4)
# stdhk stdja
@mvqstat(lags=8)
# stdhk stdja
set stdhksq = stdhk**2
set stdjasq = stdja**2
@mvqstat(lags=4)
# stdhksq stdjasq
@mvqstat(lags=8)
# stdhksq stdjasq
*
summarize(title="Unconditional Variance for Hong Kong") %beta(2)/(1-%beta(4)-%beta(6))
summarize(title="Unconditional Variance for Japan") %beta(3)/(1-%beta(5)-%beta(7))